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Performance measures have a central role in finance. Indeed, they are valuable supports for investors, allowing them to ex post compare the rankings of investment portfolios and evaluate the real added value of managers.
Our aim is to propose a new generalized performance measure that is grounded theoretically and consistent with the investor risk profile.
The project will develop in two ways. First, we analyze some of the weaknesses of the traditional performance measures. Secondly, the project aims at defining a new generalized performance measure as an extension of the Mean-variance framework in order to both better characterize the shape of return distributions to be evaluated and the preferences of the investors.
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