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Fuzzy risk adjusted performance measures: Application to hedge funds
| Content Provider | Semantic Scholar |
|---|---|
| Author | Kamdem, Jules Sadefo Moussa, Alfred Mbairadjim Terraza, Michel |
| Copyright Year | 2012 |
| Abstract | In this paper, following the notion of probabilistic risk adjusted performance measures, we introduce that of fuzzy risk adjusted performance measures (FRAPM). In order to deal efficiently with the closing-based returns bias induced by market microstructure noise, as well as to handle their uncertain variability, we combine fuzzy set theory and probability theory. The returns are first represented as fuzzy random variables and then used in defining fuzzy versions of some adjusted performance measures. Using a recent ordering method for fuzzy numbers, we propose a ranking of funds based on these fuzzy performance measures. Finally, empirical studies carried out on fifty French hedge funds confirm the effectiveness and give the benefits of our approach over the classical performance ratios. |
| Starting Page | 702 |
| Ending Page | 712 |
| Page Count | 11 |
| File Format | PDF HTM / HTML |
| DOI | 10.1016/j.insmatheco.2012.09.005 |
| Volume Number | 51 |
| Alternate Webpage(s) | http://www.lameta.univ-montp1.fr/Documents/DR2012-24.pdf |
| Alternate Webpage(s) | https://doi.org/10.1016/j.insmatheco.2012.09.005 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
