Single Period Markowitz Portfolio Selection, Performance Gauging and Duality: A Variation on Luenberger’s Shortage Function
AbstractMarkowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Business Economics, Universitat Autonoma de Barcelona in its series Working Paper with number 200203.
Date of creation: Apr 2002
Date of revision:
Contact details of provider:
Postal: 08193 Bellaterra (Cerdanyola del Vallès)
Phone: 34 93 581 1209
Fax: 34 93 581 2555
Web page: http://webs2002.uab.es/dep-economia-empresa/
More information through EDIRC
shortage function; efficient frontier; risk aversion; mean-variance portfolios;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector," Working Papers 2010/01, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Massol, O. & Banal-Estanol, A., 2012. "Export diversification and resource-based industrialization: the case of natural gas," Working Papers 12/01, Department of Economics, City University London.
- Brandouy, Olivier & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2009. "Exploring Bi-Criteria versus Multi-Dimensional Lower Partial Moment Portfolio Models," Working Papers 2009/29, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2011. "Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result," Working Papers 2011/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010.
"Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests,"
2010/10, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Kerstens, Kristiaan & Mounir, Amine & de Woestyne, Ignace Van, 2011. "Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1190-1201, May.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Armando Lloro Ayuso) The email address of this maintainer does not seem to be valid anymore. Please ask Armando Lloro Ayuso to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.