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Clustering mutual funds by return and risk levels

Lisi, Francesco and Otranto, Edoardo (2008) Clustering mutual funds by return and risk levels. Cagliari, CRENoS. p. 9 (Working Papers CRENoS, 2008, 13). Working Paper.

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Abstract

Mutual funds classifications, often made by rating agencies, are very common and sometimes criticized. In this work, a three-step statistical procedure for mutual funds classification is proposed. In the first step time series funds are characterized in terms of returns. In the second step, a clustering analysis is performed in order to obtain classes of homogeneous funds with respect to the risk levels. In particular, the risk is defined starting from an Asymmetric Threshold-GARCH model aimed todescribe minimum, normal and turmoil risk. The third step merges the previous two. An application to 75 European funds belonging to 5 different categories is given.

Item Type:Working Paper
ID Code:32
Status:Published
Uncontrolled Keywords:Cluster, distance, GARCH models, risk
Subjects:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Divisions:002 Altri enti e centri di ricerca del Nord Sardegna > CRENoS-Centro Ricerche Economiche Nord Sud, Università di Cagliari e Università di Sassari
001 Università di Sassari > 01 Dipartimenti > Economia, impresa, regolamentazione
Publisher:CRENoS
Publisher Policy:Depositato per gentile concessione del CRENoS
Deposited On:18 Aug 2009 10:01

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