Business School, The University of Western Australia, Perth, Australia.
School of Economics and Management, Beihang University, Beijing, China.
PLoS One. 2019 Apr 19;14(4):e0215320. doi: 10.1371/journal.pone.0215320. eCollection 2019.
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.
本文提出了一种基于期望效用-熵（EU-E）决策模型的另类基金评级方法，其中风险行为的风险度量是由 Luce 等人公理地发展起来的。我们检验了这种方法作为替代基金评级方法的能力，因为它有可能减轻晨星评级中使用的风险度量的缺点，并研究了基于 EU-E 模型和晨星评级的预测共同基金业绩的能力。总的来说，我们发现两个模型中使用的风险度量在其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。
