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

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  • Monica Billio

    (Université de Venise Ca’ Foscari | Università Ca’ Foscari di Venezia)

  • Bertrand Maillet

    (EM - EMLyon Business School, UR - Université de La Réunion)

  • Loriana Pelizzon

    (Goethe-Universität 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-02933252, HAL.
    • Handle: RePEc:hal:journl:hal-02933252
    DOI: 10.1007/s10479-020-03771-w
    Note: View the original document on HAL open archive server: https://hal.science/hal-02933252
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