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Generalized runs tests to detect randomness in hedge funds returns

Hentati-Kaffel, Rania; De Peretti, Philippe - In: Journal of banking & finance 50 (2015), pp. 608-615

Persistent link: https://www.econbiz.de/10010510178

Detecting performance persistence of hedge funds

Hentati-Kaffel, Rania; De Peretti, Philippe - In: Economic modelling 47 (2015), pp. 185-192

Persistent link: https://www.econbiz.de/10011439064

Structured products under generalized kappa ratio

Hentati-Kaffel, Rania - In: Economic modelling 58 (2016), pp. 599-614

Persistent link: https://www.econbiz.de/10011647933

Testing the significance of the departures from utility maximization

De Peretti, Philippe - In: Macroeconomic dynamics 9 (2005) 3, pp. 372-397

Persistent link: https://www.econbiz.de/10003048661

Testing the significance of the departures from weak separability

De Peretti, Philippe - In: Functional structure inference, (pp. 3-22). 2007

Persistent link: https://www.econbiz.de/10003604220

Structured portfolio analysis under SharpeOmega ratio

Hentati-KAFFEL, Rania; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014

This paper deals with performance measurement of financial struc- tured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide gen- eral results about...

Persistent link: https://www.econbiz.de/10010860557

Structured portfolio analysis under SharpeOmega ratio.

Hentati-Kaffel, Rania; Prigent, Jean-Luc - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

This paper deals with performance measurement of financial structured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the...

Persistent link: https://www.econbiz.de/10009421809

Forecast bankruptcy using a blend of clustering and MARS model : case of US banks

Affes, Zeineb; Hentati-Kaffel, Rania - In: Decision making and risk/return optimization in …, (pp. 27-64). 2019

Persistent link: https://www.econbiz.de/10012127927

Predicting US banks bankruptcy : logit versus canonical discriminant analysis

Affes, Zeineb; Hentati-Kaffel, Rania - In: Computational economics 54 (2019) 1, pp. 199-244

Persistent link: https://www.econbiz.de/10012134115

Admissible clustering of aggregator components : a necessary and sufficient stochastic semi-nonparametric test for weak separability

Barnett, William A.; De Peretti, Philippe - 2009

Persistent link: https://www.econbiz.de/10003838893