Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure
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KeywordsUtility Function; Performance Measures; Agents� Preferences; Portfolio Ranking;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-02 (All new papers)
- NEP-HRM-2013-11-02 (Human Capital & Human Resource Management)
- NEP-RMG-2013-11-02 (Risk Management)
- NEP-UPT-2013-11-02 (Utility Models & Prospect Theory)
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