The predictive ability of the expected utility-entropy based fund rating approach: A comparison investigation with Morningstar ratings in US
The predictive ability of the expected utility-entropy based fund rating approach: A comparison investigation with Morningstar ratings in US
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基于预期效用熵的基金评级方法的预测能力：与美国晨星评级的比较研究
DOI：
10.1371/journal.pone.0215320
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发表时间：
2019-04-19
期刊：
影响因子：
3.7
通讯作者：
Shi, Chenxiao
中科院分区：
文献类型：
--
作者：
Chiew, Daniel;Qiu, Judy;Shi, Chenxiao
在本文中，我们提出了一种替代的基金评级方法的基础上，预期效用熵（EU-E）决策模型，其中风险的风险度量的风险行动是公理化开发的吕斯等人。我们检查的能力，这种方法作为一种替代的基金评级方法的能力，它有可能减轻风险度量晨星评级中使用的缺点，并研究了基于EU-E模型和晨星评级预测共同基金业绩的能力。总的来说，我们发现，在这两个模型中使用的风险度量在他们预测未来基金业绩的能力中起着决定性的作用，并且EU-E模型可以有效地考虑投资者的行为决策。
In this paper, we propose an alternative fund rating approach based on the Expected Utility-Entropy (EU-E) decision model, in which the measure of risk for a risky action was axiomatically developed by Luce et al. We examine the ability of this approach as an alternative fund rating approach for its ability to potentially mitigate the drawbacks of the risk measure used in Morningstar ratings, and investigate the ability of the EU-E model based and Morningstar ratings to predict mutual fund performance. Overall, we find that the risk measure used in both models plays a defining role in their ability to predict future fund performance, and that the EU-E model can effectively consider the behavioral decisions of an investor.