Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector
AbstractThe shortage function has been proposed as a tool to gauge portfolio performance in multi-moment portfolio models. An open issue is how the choice of direction vector affects the efficiency measurement and, from a practical point of view, the resulting league tables. This paper illustrates empirically how the choice of direction vector affects the relative ranking of portfolios.
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Bibliographic InfoPaper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2010/01.
Length: 24 page
Date of creation: Jan 2010
Date of revision:
shortage function; efficient frontier; mean-variance efficiency;
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