Understanding Investment Funds

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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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.

• capital
• hedge fund
• Investment
• management
• Mutual Funds
• Portfolio
• Portfolio Optimization
• rating
• risk analysis
• risk management
• Risk Measurement
• investments and securities
• banking

• University of Luxembourg, Luxembourg

  Virginie Terraza

• University of Lorraine, France

  Hery Razafitombo

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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