Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings!
AbstractIn addition to its use in data envelopment analysis models, the shortage function has been proposed as a tool to gauge performance in multi-moment portfolio models. An open issue is how the choice of direction vector affects the efficiency measurement, especially when some of the data can be negative and, from a practical point of view, whether and how the resulting league tables are affected. This paper illustrates empirically how the choice of direction vector affects the relative ranking of mean-variance portfolios. This result is relevant to all frontier-based applications, especially those where some of the data can be naturally negative.
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Bibliographic InfoArticle provided by Palgrave Macmillan in its journal Journal of the Operational Research Society.
Volume (Year): 63 (2012)
Issue (Month): 9 (September)
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Postal: Palgrave Macmillan Journals, Subscription Department, Houndmills, Basingstoke, Hampshire RG21 6XS, UK
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- Cinzia Daraio & Leopold Simar, 2014. "Efficiency and benchmarking with directional distances. A data driven approach," DIAG Technical Reports 2014-07, Department of Computer, Control and Management Engineering, Universita' degli Studi di Roma "La Sapienza".
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