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Understanding Investment Funds

Insights from Performance and Risk Analysis

  • Book
  • © 2013

Overview

Editors:
  1. Virginie Terraza

    1. University of Luxembourg, Luxembourg

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    You can also search for this editor in PubMed   Google Scholar

  2. Hery Razafitombo

    1. University of Lorraine, France

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    You can also search for this editor in PubMed   Google Scholar

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Introduction

    1. Introduction

      • Virginie Terraza, Hery Razafitombo
      Pages 1-5

  3. New Performance Measure Methodologies

    1. Front Matter

      Pages 7-7
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    2. Is There a Link between Past Performance and Fund Failure?

      • Philippe Cogneau, Laurent Bodson, Georges Hübner
      Pages 9-36

    3. The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds

      • Virginie Terraza, Hery Razafitombo
      Pages 37-56

    4. Hedge Funds Risk-adjusted Performance Evaluation: A Fuzzy Set Theory-Based Approach

      • Alfred M. Mbairadjim, Jules Sadefo Kamdem, Michel Terraza
      Pages 57-71

  4. Advanced Risk Analyses and Modeling

    1. Front Matter

      Pages 73-73
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    2. Hedge Funds Risk Measurement in the Presence of Persistence Phenomena

      • Mohamed A. Limam, Rachida Hennani, Michel Terraza
      Pages 75-105

    3. Conditioned Higher-Moment Portfolio: Optimization Using Optimal Control

      • Marc Boissaux, Jang Schiltz
      Pages 106-128

    4. The Hazard-Adjusted Portfolio: A New Capital Allocation Scheme from an Extreme-Risk Management Perspective

      • Falk Laube, Virginie Terraza
      Pages 129-160

    5. Mutual Fund Rating: A Symbolic Data Approach

      • Virginie Terraza, Carole Toque
      Pages 161-175

  5. Back Matter

    Pages 176-179
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Keywords

About this book

In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective to strengthen scientific knowledge of investment funds. This book provides new insights, ideas and empirical evidence to improve tools and methods for fund performance analysis.

Editors and Affiliations

  • University of Luxembourg, Luxembourg

    Virginie Terraza

  • University of Lorraine, France

    Hery Razafitombo

About the editors

LAURENT BODSON Affiliate Professor in Finance, HEC-University of Liege, Belgium PHILLIPE COGNEAU Associate Researcher, HEC-University of Liege, Belgium GEORGES HÜBNER Deloitte Chair of Portfolio Management and Performance, HEC-University of Liege JANG SCHLITZ Associate Professor, University of Luxembourg, Luxembourg MARC BOISSAUX Research Assistant, University of Luxembourg, Luxembourg MICHEL TERRAZA Professor of Economics, University of Montpellier 1, France RACHIDA HENNANI Research Assistant, University of Montpellier 1, France MOHAMED-ALI LIMAM PhD Student, University of Montpellier 1, France FALK LAUBE Researcher/Trader, R.G. Niederhoffer Capital Management, Inc., USA JULES SADEFO KAMDEM Assistant Professor, University of Montpellier 1, France ALFRED MBAIRADJIM MOUSSA Research Assistant, University of Montpellier 1, France CAROLE TORQUE Teacher and Consultant in Statistics, University of Paris Dauphine/Syrokko, France.

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