References of "Bodson, Laurent"
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See detailEssays in Empirical Finance: Portfolio Risk and Performance Management
Bodson, Laurent ULg

Book published by Les Editions de l’Université de Liège (2010)

Detailed reference viewed: 35 (11 ULg)
See detailEffect of Benchmark Misspecification on Risk-Adjusted Performance Measures
Bodson, Laurent ULg; Hübner, Georges ULg

in Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten (Eds.) The Risk Modeling Evaluation Handbook (2010)

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Coën, Alain; Hübner, Georges ULg

in Journal of Financial Research (2010), 33(3), 201-221

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute ... [more ▼]

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy. [less ▲]

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See detailDow Jones Club Conference
Bodson, Laurent ULg

Scientific conference (2009, October 19)

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See detailAsset Management Forum
Bodson, Laurent ULg

Conference (2009, July 23)

Detailed reference viewed: 27 (4 ULg)
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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg

Conference (2009, May)

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to ... [more ▼]

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative indexes styles, we show that this technique improves the factor loadings and permits to identify more precisely the return sources of the considered hedge fund strategy. [less ▲]

Detailed reference viewed: 78 (22 ULg)
See detailGroupe d'études et de recherche en analyse des décisions (GERAD)
Bodson, Laurent ULg

Scientific conference (2009, April 23)

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See detailUne radiographie des risques des fonds monétaires
Bodson, Laurent ULg; Debatty, Philippe

in Magazine du Trésorier, Association des trésoriers d'entreprise à Luxembourg (2009)

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See detailUne radiographie des risques des fonds monétaires
Bodson, Laurent ULg; Debatty, Philippe

in Agefi Luxembourg (2009)

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See detailLes bénéfices d'une gestion active des fonds monétaires
Bodson, Laurent ULg

Conference given outside the academic context (2009)

Detailed reference viewed: 32 (3 ULg)
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See detailQuel avenir pour l’industrie des hedge funds ?
Bodson, Laurent ULg; Debatty, Philippe

in La Lettre de Financière MJ - Family Office (2009)

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See detailQuel avenir pour l’industrie des hedge funds ?
Bodson, Laurent ULg; Debatty, Philippe

in Agefi Luxembourg (2009)

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See detailMean-Variance versus Mean-VaR and Mean-Utility Spanning
Bodson, Laurent ULg; Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Stock Market Volatility (2009)

Detailed reference viewed: 27 (8 ULg)
See detailA comparison between Optimal Allocations Based on the Modified VaR and those based on a Utility-Based Risk Measure
Bodson, Laurent ULg; Coën, Alain; Hübner, Georges ULg

in Gregoriou, Greg (Ed.) The VaR Modeling Handbook (2009)

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See detailHow Stable are the Major Performance Measures?
Bodson, Laurent ULg; Coën, Alain ULg; Hübner, Georges ULg

in Journal of Performance Measurement (2008), (Fall), 21-30

In this paper, the authors compare three usual performance measures of actively managed portfolios: Jensen’s Alpha, the Information Ratio (IR), and the newly proposed Generalized Treynor Ratio (GTR ... [more ▼]

In this paper, the authors compare three usual performance measures of actively managed portfolios: Jensen’s Alpha, the Information Ratio (IR), and the newly proposed Generalized Treynor Ratio (GTR) introduced by Hübner (2005). They focus on model specification, sensitivity, and persistence for a large sample of mutual funds from January 1996 to December 2006. Their results reveal that fund classification made with the GTR displays a higher stability while the IR exhibits a greater capacity to reveal persistence in performance. The value of alpha is clearly contingent on model specifications and thus needs to be considered with greater caution to perform ranking of portfolio managers. [less ▲]

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See detailMes premiers pas en Bourse
Bodson, Laurent ULg

Conference given outside the academic context (2008)

Detailed reference viewed: 70 (16 ULg)
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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Hübner, Georges ULg; Coën, Alain

Conference (2008, July)

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to ... [more ▼]

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative indexes styles, we show that this technique improves the factor loadings and permits to identify more precisely the return sources of the considered hedge fund strategy. [less ▲]

Detailed reference viewed: 72 (41 ULg)
Full Text
Peer Reviewed
See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Coën, Alain ULg; Hübner, Georges ULg

Conference (2008, July)

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to ... [more ▼]

This paper revisits the traditional return-based style analysis (RBSA) in presence of time-varying exposures and errors-in-variables (EIV). We first apply a selection algorithm using the Kalman filter to identify the more appropriate benchmarks for the analyzed fund return. Then, we compute their corresponding higher moment estimated errors-in-variables, i.e. the measurement error series introducing the (cross) moments of order three and four. We adjust the selected benchmarks by subtracting their higher moments estimated EIV from the initial return series, to obtain an estimate of the true uncontaminated benchmarks. We finally run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative indexes styles, we show that this technique improves the factor loadings and permits to identify more precisely the return sources of the considered hedge fund strategy. [less ▲]

Detailed reference viewed: 60 (15 ULg)