Date
2015
Description
L'ouvrage fait partie de la collection "Studies in Computational Intelligence", vol. 583
Indexation documentaire
Economie financière
Subject
Stochastic migration model; Measure of performance; Rating dynamics; Fund managers; Hedge Funds; Performance
Code JEL
C73; G12; G23; G24
Titre de l'ouvrage
Econometrics of Risk
Auteur
Huynh, Van-Nam; Kreinovich, Vladik; Sriboonchitta, Songsak; Suriya, Komsan
Nom de l'éditeur
Springer
Ville de l'éditeur
Heidelberg
Année
2015
Nombre total de pages
X-498
ISBN
978-3-319-13448-2
Auteur
Darolles, Serge
Gouriéroux, Christian
Teiletche, Jérôme
Type
Chapitre d'ouvrage
Nombre de pages du document
85-113
Résumé en anglais
The ratings of fund managers based on past performances of the funds and the rating dynamics are crucial information for investors. This paper proposes a stochastic migration model to investigate the dynamics of performance-based ratings of funds, for a given risk-adjusted measure of performance. We distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994–2008.
