Fund Ratings: The method reconsidered

Fausto Corradin () and Domenico Sartore
Additional contact information
Fausto Corradin: GRETA Associati, Venice

No 2014:17, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper compares the performance of a quadratic utility function and discusses how to change its characteristic parameter, ARA, so that rating is consistent with return and risk measurements. In particular, this parameter is modified in such a way that a positive return Fund has always a rating higher than one with a negative yield. This modification confirms the possibility of building a new ranking procedure which is more coherent with the actual behaviour of investors.

Keywords: quadratic utility function; positive and negative returns; absolute risk aversion; Morningstar rating; truncated normal distribution; incomplete gamma function; Italian Pension Fund (search for similar items in EconPapers)
JEL-codes: G11 G14 G24 (search for similar items in EconPapers)
Pages: 40
Date: 2014
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.unive.it/web/fileadmin/user_upload/dip ... in_sartore_17_14.pdf First version, anno 2014 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2014:17

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Venice "Ca' Foscari" Contact information at EDIRC.
Bibliographic data for series maintained by Sassano Sonia ().