References of "Hübner, Georges"
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See detailFinance et valeur(s): Liber Amicorum et Discipulorum
Corhay, Albert ULg; Hübner, Georges ULg; Muller, Aline ULg

Book published by Les Editions de l'Université de Liège (2009)

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See detailAlternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection
Schyns, Michael ULg; Hübner, Georges ULg; Crama, Yves ULg

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

This paper introduces a new methodology to optimize the allocation of financial assets. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value ... [more ▼]

This paper introduces a new methodology to optimize the allocation of financial assets. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. The assets could consist in stocks as well as options. We rely on a flexible scenario tree approach to represent the future prices. In order to reduce the number of leaves and maintain the model tractable, stocks prices are obtained through the Fama & French empirical asset pricing model. Experiments on historical data are performed to illustrate the method and show the performance of the approach. Different strategies are compared: considering various market distributions, several factor models and a few portfolio hypothesis. [less ▲]

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See detailDeriving Risk Appetite and translating it into a meaningful set of limits
Hübner, Georges ULg; Nord, Andrew; Smith, Brian

Conference (2009, January)

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See detailRisk and performance estimation in hedge funds revisited: Evidence from errors in variables
Coën, Alain; Hübner, Georges ULg

in Journal of Empirical Finance (2009), 16(1), 112-125

This paper revisits the performance of hedge funds in the presence of errors in variables. To reduce the bias induced by measurement error, we introduce an estimator based on cross sample moments of ... [more ▼]

This paper revisits the performance of hedge funds in the presence of errors in variables. To reduce the bias induced by measurement error, we introduce an estimator based on cross sample moments of orders three and four. This Higher Moment Estimation (HME) technique has significant consequences on the measure of factor loadings and the estimation of abnormal performance. Large changes in alphas can be attributed to measurement errors at the level of explanatory variables, while we emphasize some shifts in the economic contents of the equity risk premiums by switching from OLS to HME. [less ▲]

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See detailThe (more than) 100 Ways to Measure Portfolio Performance: Part 2: Special Measures and Comparison
Cogneau, Philippe ULg; Hübner, Georges ULg

in Journal of Performance Measurement (2009), 14(Fall), 56-69

This paper performs a census of the 107 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a ... [more ▼]

This paper performs a census of the 107 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a classification based on their objectives, properties and degree of generalization. The measures are categorized based on the general way they are computed: asset selection vs. market timing, standardized vs. individualized, absolute vs. relative and excess return vs. gain measure. We show that several categories have been exhausted while some others feature very heterogeneous ways to assess performance within the same sets of objectives. The census is divided in two parts. The current article (Part 2) presents the 32 special measures and provides a empirical comparison of the rankings produced by some of the major measures. [less ▲]

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See detailThe (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adjusted Measures
Cogneau, Philippe ULg; Hübner, Georges ULg

in Journal of Performance Measurement (2009), 13(Summer), 56-71

This paper performs a census of the 107 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a ... [more ▼]

This paper performs a census of the 107 performance measures for portfolios that have been proposed so far in the scientific literature. We discuss their main strengths and weaknesses and provide a classification based on their objectives, properties and degree of generalization. The measures are categorized based on the general way they are computed: asset selection vs. market timing, standardized vs. individualized, absolute vs. relative and excess return vs. gain measure. We show that several categories have been exhausted while some others feature very heterogeneous ways to assess performance within the same sets of objectives. The census is divided in two parts. The current article (Part 1) introduces the general taxonomy and presents the 75 standardized risk-adjusted measures. [less ▲]

Detailed reference viewed: 491 (15 ULg)
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 detailModeling Operational Risk Based on Multiple Experts’ Opinion
Peters, Jean-Philippe; Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Operational Risk Towards Basel III (2009)

While the Basel II accord has now gone live in most parts of the world, many discrepancies still remain on advanced modeling techniques for operational risk among large international banks. The two major ... [more ▼]

While the Basel II accord has now gone live in most parts of the world, many discrepancies still remain on advanced modeling techniques for operational risk among large international banks. The two major families of models include the loss distribution approaches (LDAs) that focus on observed past internal and external loss events and the scenario-based techniques that use subjective opinions from experts as the starting point to determine the regulatory capital charge to cover operational risk. A major methodological challenge is the combination of both techniques so as to fulfill Basel II requirements. In this chapter we discuss and investigate the use of various alternatives to model expert opinion in a sound statistical way so as to allow for subsequent integration with loss distributions fitted on internal and/or external data. A numerical example supports the analysis and shows that solutions exist to merge information arising from both sources. [less ▲]

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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 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 ▲]

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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 ▲]

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

Conference (2008, June)

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: 52 (21 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, April)

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: 52 (16 ULg)
See detailAlternative alphas
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 18 (5 ULg)
See detailCapital Structure Arbitrage
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 38 (4 ULg)
See detailAsset Dynamics Estimation and Its Impact on CDS Pricing
François, Pascal; Hübner, Georges ULg

in Ali, Paul; Gregoriou, Greg (Eds.) Credit Derivatives Handbook (2008)

Detailed reference viewed: 9 (3 ULg)
See detailAlternative betas
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 11 (4 ULg)