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Frontier-based vs. traditional mutual fund ...
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Document type :
Article dans une revue scientifique
DOI :
10.1016/j.ejor.2014.11.010
Title :
Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis
Author(s) :
Brandouy, Olivier [Auteur]
Groupe de Recherche en Economie Théorique et Appliquée [GREThA]
Kerstens, Kristiaan [Auteur]
Lille économie management - UMR 9221 [LEM]
Woestyne, Ignace Van [Auteur]
Journal title :
European Journal of Operational Research
Pages :
332--342
Publisher :
Elsevier
Publication date :
2015-04
ISSN :
0377-2217
English keyword(s) :
Mutual fund rating
DEA
FDH
Shortage function
Mean-variance portfolio frontier
HAL domain(s) :
Sciences de l'Homme et Société/Economies et finances
Économie et finance quantitative [q-fin]
English abstract : [en]
We explore the potential benefits of a series of existing and new non-parametric convex and non-convex frontier-based fund rating models to summarize the information contained in the moments of the mutual fund price series. ...
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We explore the potential benefits of a series of existing and new non-parametric convex and non-convex frontier-based fund rating models to summarize the information contained in the moments of the mutual fund price series. Limiting ourselves to the traditional mean-variance portfolio setting, we test in a simple backtesting setup whether these efficiency measures fare any better than more traditional financial performance measures in selecting promising investment opportunities. The evidence points to a remarkable superior performance of these frontier models compared to most, but not all traditional financial performance measures.Show less >
Language :
Anglais
Peer reviewed article :
Oui
Audience :
Internationale
Popular science :
Non
Collections :
  • Lille Économie Management (LEM) - UMR 9221
Source :
Harvested from HAL
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  • https://lirias.kuleuven.be/bitstream/123456789/468702/2/MFRatingMV_21June2014.pdf
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