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dc.contributor.authorBernard, P.*
dc.contributor.authorEl Mekkaoui-De Freitas, N.*
dc.contributor.authorMaillet, Bertrand B.*
dc.date.accessioned2020-01-25T14:48:26Z
dc.date.available2020-01-25T14:48:26Z
dc.date.issued2019
dc.identifier.issn1572-9338
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20480
dc.language.isoenen
dc.subjectPerformance measurement
dc.subjectFraud detection
dc.subjectRobust statistics
dc.subjectHedge funds
dc.subject.ddc332en
dc.subject.classificationjelG.G2.G24en
dc.titleA financial fraud detection indicator for investors: an IDeA
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenFraud detection is a key issue for investors and financial authorities. The Ponzi schemeorganized by Bernard Madoff is a magnified example of a financial fraud, always possiblewhen well-orchestrated. Traditional methods to detect fraud require costly and lengthyinvestigations that involve complex financial and legal knowledge, as well as highly skilledanalysts. Based on the motto “too good to be true” that should be adopted by any rationalinvestor, we propose herein the use of a robust performance measure (named GUN*) toconstruct an Index for detection of anomalies (called IDeA). This index is based on thebasic intuition that it is not possible to properly evaluate a fund as “good” regardless thecharacteristics and risk aversion of investors. After defining the intuition behind such anindex and its economic theoretical background, we illustrate our innovative operationsresearch methodology for fraud detection and demonstrate its usefulness studying theemblematic case of the fraud by Madoff.
dc.relation.isversionofjnlnameAnnals of Operations Research
dc.relation.isversionofjnldate2019
dc.relation.isversionofdoi10.1007/s10479-019-03360-6
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2020-04-10T12:30:10Z
hal.person.labIds*
hal.person.labIds*
hal.person.labIds*
hal.identifierhal-02455189*


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