Title :

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

Author(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]

Journal title :

European Journal of Operational Research

Pages :

332-344

Publisher :

Elsevier

Publication date :

2024

ISSN :

0377-2217

English keyword(s) :

Shortage function
Frontier
Fund rating
Risk-loving preferences

HAL domain(s) :

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

English abstract : [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 ...
Show more >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.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL