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The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market

  • Claudio Giannotti
  • Gianluca Mattarocci
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

Return distribution of some financial instruments (like hedge funds) does not fit with the hypothesis of normality of returns and so, for those instruments, new and more complex Risk Adjusted Performance measures (hereinafter RAP) are proposed. The rankings based on these new measures are not always coherent with those defined using more simple ones and could show qualities (like a higher time persistence) that are desirable for an investor (Carretta and Mattarocci, 2008).

Keywords

Real Estate Risk Measure Hedge Fund Excess Return Return Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Claudio Giannotti and Gianluca Mattarocci 2013

Authors and Affiliations

  • Claudio Giannotti
  • Gianluca Mattarocci

There are no affiliations available

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