Fuzzy risk adjusted performance measures: application to Hedge funds

Alfred Mbairadjim Moussa, Jules Sadefo Kamdem and Michel Terraza

Working Papers from LAMETA, Universtiy of Montpellier

Abstract: In this paper, following the notion of probabilistic risk adjusted performance measures; we introduce that of fuzzy risk adjusted measures (FRAM). In order to deal efficiently with the closing-based returns bias induced by market microstructure noise, as well as to handle their uncertain variability, we combine fuzzy set theory and probability theory. The returns are first represented as fuzzy random variables and then used in defining fuzzy versions of some adjusted performance measures. Using a recent ordering method for fuzzy numbers, we propose a ranking of funds based on these fuzzy performance measures. Finally, empirical studies carried out on fifty French Hedge Funds confirm the effectiveness and give the benefits of our approach over the classical performance ratios.

Pages: 23 pages
Date: 2012-09, Revised 2012-09
New Economics Papers: this item is included in nep-rmg and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.lameta.univ-montp1.fr/Documents/DR2012-24.pdf First version, 2012 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.lameta.univ-montp1.fr:80 (No such host is known. )

Related works:
Journal Article: Fuzzy risk adjusted performance measures: Application to hedge funds (2012)
Working Paper: Fuzzy risk adjusted performance measures: Application to hedge funds (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lam:wpaper:12-24

Access Statistics for this paper

More papers in Working Papers from LAMETA, Universtiy of Montpellier Contact information at EDIRC.
Bibliographic data for series maintained by Patricia Modat ( this e-mail address is bad, please contact ).