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Self-organizing maps could improve the classification of Spanish mutual funds

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMoreno, David
dc.contributor.authorMarco, Paulina
dc.contributor.authorOlmeda, Ignacio
dc.date.accessioned2010-04-21T16:49:12Z
dc.date.available2010-04-21T16:49:12Z
dc.date.issued2006-10
dc.description.abstractIn this paper, we apply nonlinear techniques (Self-Organizing Maps, k-nearest neighbors and the k-means algorithm) to evaluate the official Spanish mutual funds classification. The methodology that we propose allows us to identify which mutual funds are misclassified in the sense that they have historical performances which do not conform to the investment objectives established in their official category. According to this, we conclude that, on average, over 40% of mutual funds could be misclassified. Then, we propose an alternative classification, based on a double-step methodology, and we find that it achieves a significantly lower rate of misclassifications. The portfolios obtained from this alternative classification also attain better performances in terms of return/risk and include a smaller number of assets.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationEuropean journal of operational research, October 2006, Vol. 174, No. 2, p. 1039-1054
dc.identifier.doi10.1016/j.ejor.2004.12.018
dc.identifier.issn0377-2217
dc.identifier.publicationfirstpage1039
dc.identifier.publicationissue2
dc.identifier.publicationlastpage1054
dc.identifier.publicationtitleEuropean journal of operational research
dc.identifier.publicationvolume174
dc.identifier.urihttps://hdl.handle.net/10016/7747
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.ejor.2004.12.018
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherFinance
dc.subject.otherMutual funds
dc.subject.otherClustering
dc.subject.otherSelf-organizing map (SOM)
dc.subject.otherInvestment analysis
dc.titleSelf-organizing maps could improve the classification of Spanish mutual funds
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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