Titre :

Risk-aversion versus risk-loving preferences in nonparametric frontier-based fund ratings: A buy-and-hold backtesting strategy

Auteur(s) :

Ren, Tiantian [Auteur]
Xiangtan University
Kerstens, Kristiaan [Auteur]
Lille économie management - UMR 9221 [LEM]
Kumar, Saurav [Auteur]
Indira Gandhi institute of Development and Research [ICIDR]

Titre de la revue :

European Journal of Operational Research

Pagination :

332-344

Éditeur :

Elsevier

Date de publication :

2024

ISSN :

0377-2217

Mot(s)-clé(s) en anglais :

Shortage function
Frontier
Fund rating
Risk-loving preferences

Discipline(s) HAL :

Économie et finance quantitative [q-fin]/Gestion de portefeuilles [q-fin.PM]
Économie et finance quantitative [q-fin]/Gestion des risques [q-fin.RM]

Résumé en anglais : [en]

The eventual risk-loving nature of preferences of investors has largely been ignored in the existing frontier-based fund rating literature. This contribution develops a series of nonparametric frontier-based methods to ...
Lire la suite >The eventual risk-loving nature of preferences of investors has largely been ignored in the existing frontier-based fund rating literature. This contribution develops a series of nonparametric frontier-based methods to rate mutual funds accounting for both mixed risk-loving and mixed risk-aversion preferences. These new methods are proposed by defining the corresponding shortage functions that can allow for increases in all moments, or increases in odd moments and reductions in even moments. The empirical part designs a buy-and-hold backtesting to test the out-of-sample performance of the proposed rating methods corresponding to different risk preferences on the actual MF selection. The evidence indicates that the backtesting strategies based on the output frontier-based rating models with risk-loving preferences exhibit an overwhelming dominance compared to most existing frontier-based and traditional financial ratings.Lire moins >

Langue :

Anglais

Comité de lecture :

Oui

Audience :

Internationale

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL