We develop an axiomatically consistent way of ranking and scoring funds that respects an industry benchmark. Our performance measure, termed MAP, accounts for the feature that investors may exhibit skepticism when evaluating investment strategies versus a benchmark. Linking developed theory to...

We develop a performance measure, termed MAP, which is based on the concept of ambiguity aversion, and is pertinent for actively managed funds that follow opaque investment strategies. When investors are ambiguity averse, our empirical evidence refutes the notion that many actively managed...

We study a relation between higher order comoments and dependence structure of equity portfolio in the US and UK by relying on a simple portfolio approach where equity portfolios are sorted on the higher order comoments. We find that beta and coskewness are positively related with a copula...