A meta-measure of performance related to both investors and investments characteristics

Monica Billio, Bertrand Maillet () and Loriana Pelizzon ()
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Bertrand Maillet: EM - EMLyon Business School, CEMOI - Centre d'Économie et de Management de l'Océan Indien - UR - Université de La Réunion

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Abstract: We introduce hereafter a new flexible meta-measurement of portfolio performance, called the Generalized Utility-based N-moment measure, relying both on a characterization of the whole return distribution and on the set of preferences of the investor, which is adapted to analyze the performance of hedge funds. It could also serve as the basis of a Fraudulent Behavior Index aiming to detect fraudulent funds.

Keywords: Performance measurement; Hedge funds; Higher-moments; Statistical expansion (search for similar items in EconPapers)
Date: 2021-08-12
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Published in Annals of Operations Research, 2021, ⟨10.1007/s10479-020-03771-w⟩

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Journal Article: A meta-measure of performance related to both investors and investments characteristics (2022)
Working Paper: A meta-measure of performance related to both investors and investments characteristics (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03543398

DOI: 10.1007/s10479-020-03771-w

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