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

Author

Listed:
  • Monica Billio

    (University of Ca’ Foscari [Venice, Italy])

  • Bertrand Maillet

    (EM - EMLyon Business School, CEMOI - Centre d'Économie et de Management de l'Océan Indien - UR - Université de La Réunion)

  • Loriana Pelizzon

    (Goethe-University Frankfurt am Main)

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.

Suggested Citation

  • Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-03543398, HAL.
    • Handle: RePEc:hal:journl:hal-03543398
    DOI: 10.1007/s10479-020-03771-w
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