The condition of Risk Aversion implies that the Utility Function must be concave. We take into account the dependence of the Utility Function on the return that has any type of two-parameter distribution; it is possible to define Risk and Target, the former may be the Standard Deviation of the...

This paper computes the non central moments of the Truncated Normal variable, that is, a Normal variable constrained to assume values in the interval with extremes that can be finite or infinite.We define two recursive expressions where one can be expressed in closed form. Another closed form is...

This paper compares the performance of a quadratic utility function and discusses how to change its characteristic parameter, ARA, so that rating is consistent with return and risk measurements. In particular, this parameter is modified in such a way that a positive return Fund has always a...