Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis
| dc.rights.license | open | en_US |
| hal.structure.identifier | Groupe de Recherche en Economie Théorique et Appliquée [GREThA] | |
| dc.contributor.author | BRANDOUY, Olivier
IDREF: 034884718 | |
| dc.contributor.author | KERSTENS, K. | |
| dc.contributor.author | VAN DE WOESTYNE, I. | |
| dc.date.accessioned | 2020-02-20T10:29:58Z | |
| dc.date.available | 2020-02-20T10:29:58Z | |
| dc.date.issued | 2015 | |
| dc.identifier.issn | 0377-2217 | en_US |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/3628 | |
| dc.description.abstractEn | 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 frontiermodels compared tomost, but not all traditional financial performance measures. | |
| dc.language.iso | EN | en_US |
| dc.subject.en | Mutual fund rating | |
| dc.subject.en | DEA | |
| dc.subject.en | FDH | |
| dc.subject.en | Shortage function | |
| dc.subject.en | Mean-variance portfolio frontier | |
| dc.title.en | Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis | |
| dc.type | Article de revue | en_US |
| dc.identifier.doi | 10.1016/j.ejor.2014.11.010 | |
| dc.subject.hal | Economie et finance quantitative [q-fin] | en_US |
| dc.subject.hal | Économie et finance quantitative [q-fin] | |
| bordeaux.journal | European Journal of Operational Research | en_US |
| bordeaux.page | 332-342 | en_US |
| bordeaux.volume | 242 | en_US |
| bordeaux.hal.laboratories | Groupe de Recherche en Economie Théorique et Appliquée (GREThA) - UMR 5113 | en_US |
| bordeaux.issue | 1 | en_US |
| bordeaux.institution | Université de Bordeaux | en_US |
| bordeaux.peerReviewed | oui | en_US |
| bordeaux.inpress | non | en_US |
| hal.identifier | hal-03116391 | |
| hal.version | 1 | |
| hal.date.transferred | 2021-01-20T10:56:07Z | |
| hal.export | false | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=European%20Journal%20of%20Operational%20Research&rft.date=2015&rft.volume=242&rft.issue=1&rft.spage=332-342&rft.epage=332-342&rft.eissn=0377-2217&rft.issn=0377-2217&rft.au=BRANDOUY,%20Olivier&KERSTENS,%20K.&VAN%20DE%20WOESTYNE,%20I.&rft.genre=article |
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