References of "Coën, Alain"
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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; 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 detailA Comparison between Optimal Allocations Based on the Modified VaR and on a Utility-Based Risk Measure
Bodson, Laurent ULg; Coën, Alain ULg; Hübner, Georges ULg

in Gregoriou, Greg N. (Ed.) The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book (2008)

Many empirical analyses have demonstrated that some financial asset returns like those of hedge funds depart from the normal distribution. From this observation, several new risk measures have been ... [more ▼]

Many empirical analyses have demonstrated that some financial asset returns like those of hedge funds depart from the normal distribution. From this observation, several new risk measures have been created to take into consideration the skewness and the kurtosis of the return distributions. We propose in this chapter to present the impact of higher moments on the optimal portfolio allocation comparing two four-moment risk measures, namely a utility-based risk measure with the preference-free modified VaR (MVaR). [less ▲]

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