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

Author

Listed:
  • 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)

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
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Alfred Mbairadjim Moussa & Jules Sadefo-Kamdem & Michel Terraza, 2012. "Moments partiels crédibilistes et application à l’évaluation de la performance des fonds spéculatifs," Post-Print hal-02938832, HAL.
  • Handle: RePEc:hal:journl:hal-02938832
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