Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector
The 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.
|Date of creation:||Jan 2010|
|Contact details of provider:|| Web page: http://research.hubrussel.be|
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- Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007.
"Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach,"
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- repec:bbe:wpaper:200203 is not listed on IDEAS
- Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
- W. Briec & K. Kerstens, 2007. "Portfolio selection in multidimensional general and partial moment space," Post-Print hal-00296711, HAL.
- Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
- W. Briec & K. Kerstens, 2010. "Portfolio selection in multidimensional general and partial moment space," Post-Print halshs-00473219, HAL.
- Walter Briec & Hervé Leleu, 2003. "Dual Representations of Non-Parametric Technologies and Measurement of Technical Efficiency," Journal of Productivity Analysis, Springer, vol. 20(1), pages 71-96, July.
- Jarrow, Robert A. & Purnanandam, Amiyatosh K., 2005. "A generalized coherent risk measure: The firm's perspective," Finance Research Letters, Elsevier, vol. 2(1), pages 23-29, March.
- Walter Briec & Kristiaan Kerstens & Jean Baptiste Lesourd, 2001. "Single Period Markowitz Portfolio Selection, Performance Gading and Duality: A Variation on Luenberger'a Shortage Function," Working Papers 0203, Departament Empresa, Universitat Autònoma de Barcelona, revised Apr 2002. Full references (including those not matched with items on IDEAS)
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