Moments partiels crédibilistes et application à l’évaluation de la performance des fonds spéculatifs

Alfred Mbairadjim Moussa, Jules Sadefo-Kamdem and Michel Terraza
Additional contact information
Alfred Mbairadjim Moussa: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier
Jules Sadefo-Kamdem: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier
Michel Terraza: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

Post-Print from HAL

Abstract: The aim of this paper is to analyze the hedge fund performance assumingthat the risk factors are fuzzy variable. In order to measure the risk relating to loss, thenotion of downside risk is originally introduced in this paper with credibility theory, andtheir mathematical properties are studied. Based on the concept of upside and downsidepartial moments of fuzzy variable, the credibilistic versions of Sharpe ratio, Sortino ratioand Gain-Loss ratio are considered and theoretically discussed. To compute these newperformance ratios, a fuzzy simulation method is presented. In addition, in the empiricalstudy, we first implement the maximum entropy methods for the credibility distributionestimation and the numerical examples are given on French hedge funds ranking

Keywords: Fonds spéculatifs; Mesure de crédibilité; Moments partiels; Evaluation de performance. (search for similar items in EconPapers)
Date: 2012-05-21
References: Add references at CitEc
Citations:

Published in 44ème Journées de la Société Française de Statistique (2012), Société Française de Statistique (SFdS), May 2012, Bruxelles, Belgium

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Moments partiels crédibilistes et application à l’évaluation de la performance des fonds spéculatifs (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:hal:journl:hal-02938781

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().