Fuzzy risk adjusted performance measures: application to Hedge funds
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- Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M., 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 702-712.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Terraza, M., 2014. "Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns," Economic Modelling, Elsevier, vol. 39(C), pages 247-256.
- Mbairadjim Moussa, A. & Sadefo Kamdem, J. & Shapiro, A.F. & Terraza, M., 2014. "CAPM with fuzzy returns and hypothesis testing," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 40-57.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-RMG-2012-10-20 (Risk Management)
- NEP-UPT-2012-10-20 (Utility Models & Prospect Theory)
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