Brandouy, Olivier; Kerstens, Kristiaan; Van de … - In: European Journal of Operational Research 242 (2015) 1, pp. 332-342
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,...