Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings!
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- K. Kerstens & A. Mounir & I. Van de Woestyne, 2012. "Benchmarking mean-variance portfolios using a shortage function : the choice of direction vector affects rankings !," Post-Print hal-00728318, HAL.
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- Cinzia Daraio & Léopold Simar, 2016.
"Efficiency and benchmarking with directional distances: a data-driven approach,"
Journal of the Operational Research Society,
Palgrave Macmillan;The OR Society, vol. 67(7), pages 928-944, July.
- 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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