Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 186-214
, Treynor, Jensen and Modified Sharpe ratios. We then apply Data Envelopment Analysis to classify the funds in order to avoid … Envelopment Analysis implementation. In addition, we apply the Malkiel, Brown and Goetzman test and the Rude and Khan test in … the problems arising from the non-normality of their returns, since non-gaussian returns do not pose a problem in Data …