Grading the performance of market indicators with utility benchmarks selected from Footsie: a 2000 case study
The suitable choice of a benchmark portfolio is a critical problem prior to using the information ratio, as the performance ranking of funds depends on this choice. In this paper, a method to optimize benchmark selection taking account of the investor's preferences is proposed and applied to a case study of performance for 29 market indicators on stock exchanges throughout the world. The method that relies on recent results in optimization theory requires defining the opportunity set to select the benchmarks, this set being Footsie in the case study. The computational process and numerical results are presented through tables and figures, the accuracy of the method being also numerically tested.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 37 (2005)
Issue (Month): 18 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEC20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEC20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- K. Dachraoui & G. Dionne, 2001.
"Stochastic Dominance and Optimal Portfolio,"
THEMA Working Papers
2001-01, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Dutta, Jayasri & Kapur, Sandeep & Orszag, J. Michael, 2000. "A portfolio approach to the optimal funding of pensions," Economics Letters, Elsevier, vol. 69(2), pages 201-206, November.
- Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001. "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1789-1804, September.
- K. Borch, 1969. "A Note on Uncertainty and Indifference Curves," Review of Economic Studies, Oxford University Press, vol. 36(1), pages 1-4.
- Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
- M. S. Feldstein, 1969. "Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection," Review of Economic Studies, Oxford University Press, vol. 36(1), pages 5-12.
When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:37:y:2005:i:18:p:2147-2160. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.