Details
Abstract:
This study introduces a new preference indicator that allows for the ranking of investment strategies that share similar probability distributions—such as mean, variance, Sharpe ratio, and Omega ratio—but have experienced different past returns. Through an empirical analysis of capital flows in funds, we explore how this innovative indicator can elucidate investment decisions. Additionally, we identify individual preferences for improving sequences of outcomes using a questionnaire.
About the Speaker:
Prof. Dr. Carole Bernard graduated from the prestigious Ecole Normale Supérieure de Cachan in France in 2003 and obtained her Ph.D. in Finance from the Institute of Financial and Actuarial Sciences in Lyon in 2005. She has held academic positions at the University of Waterloo in Canada (2006-2015), Grenoble Ecole de Management (since 2015), and VUB (since 2016).
With a robust research portfolio, Prof. Dr. Carole Bernard has published extensively in leading international journals, including Management Science, Journal of Risk and Insurance, and Journal of Banking and Finance. Her work has garnered multiple prestigious awards, such as the North American Actuarial Journal Best Paper Award and the PRMIA Award for Frontiers in Risk Management.