Monica Billio, Gregory Jannin, Bertrand Maillet, and Loriana Pelizzon
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(2) Working Papers Department of Economics Ca’ Foscari University of Venice No. 22/WP/2013 ISSN 1827-3580. Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure Monica Billio University Ca’ Foscari of Venice. Gregory Jannin Variances and Univ. Paris-1 (PRISM). Bertrand Maillet Univ. La Reunion and Orleans (CEMOI, LEO/CNRS and LBI). Loriana Pelizzon University Ca’ Foscari of Venice.. Abstract Most of the performance measures proposed in the financial and academic literature are subject to be gamed in an active management framework (Goetzmann et al., 2007). One of the main reasons of this drawback is due to an incomplete characterization by these measures of studied return distributions. We introduce a new flexible Generalized Utilitybased N-moment measure of performance (GUN, in short), characterizing the whole return distribution, and thus hardly gamable. More precisely, it takes into account the first four moments of the return distribution and the associated sensitivities of the studied agent, reflecting his preferences and risk profile. The new performance measure is also well adapted for analyzing performance of hedge funds and more peculiarly in presence of derivative instruments associated with non-Gaussian return distributions. Key words: Utility Function, Performance Measures, Agents’ Preferences, Portfolio Ranking. JEL codes : C16, G11, G23, G24. Address for correspondence: Monica Billio Department of Economics Ca’ Foscari University of Venice Cannaregio 873, Fondamenta S. Giobbe 30121 Venice - Italy Phone: (+39) 041 2349170 Fax: (+39) 041 2349176 e-mail: billio@unive.it. This Working Paper is published under the auspices of the Department of Economics of the Ca’ Foscari University of Venice. Opinions expressed herein are those of the authors and not those of the Department. The Working Paper series is designed to divulge preliminary or incomplete work, circulated to favour discussion and comments. Citation of this paper should consider its provisional character.. The Working Paper Series is available only on line (http://www.unive.it/nqcontent.cfm?a_id=86302) For editorial correspondence, please contact: wp.dse@unive.it. Department of Economics Ca’ Foscari University of Venice Cannaregio 873, Fondamenta San Giobbe 30121 Venice (Italy) Fax: (+39) 041 2349210.
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