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Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function
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Cited by:
- Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010.
"Portfolio performance gauging in discrete time using a Luenberger productivity indicator,"
Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1899-1910, August.
- Olivier Brandouy & Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2008. "Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator," Working Papers 2008-ECO-12, IESEG School of Management, revised Oct 2009.
- Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan, 2008. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Working Papers 2008/60, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- O. Brandouy & W. Briec & K. Kerstens & I. van de Woestyne, 2010. "Portfolio performance gauging in discrete time using a luenberger productivity indicator," Post-Print halshs-00490032, HAL.
- Zhang, Linjia & Botti, Laurent & Petit, Sylvain, 2016.
"Destination performance: Introducing the utility function in the mean-variance space,"
Tourism Management, Elsevier, vol. 52(C), pages 123-132.
- L. Zhang & L. Botti & Sylvain Petit, 2015. "Destination performance: Introducing the utility function in the Mean-Variance space," Post-Print hal-02974984, HAL.
- Linjia Zhang & Laurent Botti & Sylvain Petit, 2016. "Destination performance: Introducing the utility function in the Mean-Variance space," Post-Print hal-01831499, HAL.
- Zhang, Linjia & Botti, Laurent & Petit, Sylvain, 2016. "Destination performance: Introducing the utility function in the mean-variance space," MPRA Paper 75080, University Library of Munich, Germany.
- 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.
- K. Kerstens, 2010. "Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests," Post-Print halshs-00777323, HAL.
- K. Kerstens, 2010. "Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments : Some Specification Tests," Post-Print halshs-00777288, HAL.
- K. Kerstens, 2010. "Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments : Some Specification Tests," Post-Print halshs-00777278, HAL.
- 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," Working Papers 2010/10, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- K. Kerstens & A. Mounir & I. van de Woestyne, 2011. "Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests," Post-Print halshs-00578239, HAL.
- Abdelouahed Hamdi & Arezou Karimi & Farshid Mehrdoust & Samir Brahim Belhaouari, 2022. "Portfolio Selection Problem Using CVaR Risk Measures Equipped with DEA, PSO, and ICA Algorithms," Mathematics, MDPI, vol. 10(15), pages 1-26, August.
- Martin Branda, 2016. "Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour," 4OR, Springer, vol. 14(1), pages 77-99, March.
- Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013.
"Portfolio selection with skewness: A comparison of methods and a generalized one fund result,"
European Journal of Operational Research, Elsevier, vol. 230(2), pages 412-421.
- Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2013. "Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result," Working Papers 2013-ECO-04, IESEG School of Management.
- W. Briec & K. Kerstens & I. van de Woestyne, 2013. "Portfolio selection with skewness : a comparison of methods and a generalized one fund result," Post-Print hal-00837674, HAL.
- Simar, Léopold & Vanhems, Anne, 2012.
"Probabilistic characterization of directional distances and their robust versions,"
Journal of Econometrics, Elsevier, vol. 166(2), pages 342-354.
- Simar, Léopold & Vanhems, Anne, 2010. "Probabilistic Characterization of Directional Distances and their Robust Versions," TSE Working Papers 10-195, Toulouse School of Economics (TSE).
- Simar, Leopold & Vanhems, Anne, 2010. "Probabilistic characterization of directional distances and their robust versions," LIDAM Discussion Papers ISBA 2010040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Simar, Leopold & Vanhems, Anne, 2012. "Probabilistic characterization of directionaldistances and their robustversions," LIDAM Reprints ISBA 2012003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Briec, Walter & Kerstens, Kristiaan, 2009.
"Multi-horizon Markowitz portfolio performance appraisals: A general approach,"
Omega, Elsevier, vol. 37(1), pages 50-62, February.
- K. Kerstens, 2006. "Multi-Horizon Markowitz Porfolio Performance Appraisals : A General approach," Post-Print hal-00288784, HAL.
- W. Briec & K. Kerstens, 2009. "Multi-horizon markowitz portfolio performance appraisals : a general approach," Post-Print hal-00288174, HAL.
- Zhou, Zhongbao & Jin, Qianying & Xiao, Helu & Wu, Qian & Liu, Wenbin, 2018. "Estimation of cardinality constrained portfolio efficiency via segmented DEA," Omega, Elsevier, vol. 76(C), pages 28-37.
- Nalpas, Nicolas & Simar, Leopold & Vanhems, Anne, 2016.
"Portfolio Selection in a Multi-Input Multi-Output Setting:a Simple Monte-Carlo-FDH Algorithm,"
LIDAM Discussion Papers ISBA
2016022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Nalpas, Nicolas & Simar, Léopold & Vanhems, Anne, 2016. "Portfolio Selection in a Multi-Input Multi-Output Setting: a Simple Monte-Carlo-FDH Algorithm," TSE Working Papers 16-648, Toulouse School of Economics (TSE).
- 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.
- G.A. Vijayalakshmi Pai & Thierry Michel, 2012. "Integrated Metaheuristic Optimization Of 130–30 Investment‐Strategy‐Based Long–Short Portfolios," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 43-74, January.
- Kerstens, Kristiaan & Mazza, Paolo & Ren, Tiantian & Van de Woestyne, Ignace, 2022.
"Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy,"
Omega, Elsevier, vol. 113(C).
- Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
- Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace van de Woestyne, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Post-Print hal-03833261, HAL.
- Andreu, Laura & Serrano, Miguel & Vicente, Luis, 2019. "Efficiency of mutual fund managers: A slacks-based manager efficiency index," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1180-1193.
- Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
- Simar, Léopold & Vanhems, Anne & Wilson, Paul W., 2012.
"Statistical inference for DEA estimators of directional distances,"
European Journal of Operational Research, Elsevier, vol. 220(3), pages 853-864.
- Simar, Leopold & Vanhems, Anne & Wilson, Paul W., 2011. "Statistical Inference for DEA Estimators of Directional Distances," LIDAM Discussion Papers ISBA 2011035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Simar, Leopold & Vanhems, Anne & Wilson, Paul W., 2012. "Statistical inference for DEA estimators of directional distances," LIDAM Reprints ISBA 2012018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011.
"Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function,"
European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
- K. Kerstens, 2007. "Geometric Representation of the Mean-Variance-Skewness Porfolio Frontier Based upon the Shortage Function," Post-Print hal-00288790, HAL.
- K. Kerstens & A. Mounir & I. van de Woestyne, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Post-Print hal-00551848, HAL.
- Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Working Papers 2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Kristiaan Kerstens & Amine Mounir & Ignace Van de Woestyne, 2008. "Geometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function," Working Papers 2008-ECO-17, IESEG School of Management.
- Lozano, Sebastián & Gutiérrez, Ester, 2008. "Data envelopment analysis of mutual funds based on second-order stochastic dominance," European Journal of Operational Research, Elsevier, vol. 189(1), pages 230-244, August.
- Olivier Massol & Albert Banal-Estañol, 2011.
"Export diversification and resource-based industrialization : the case of natural gas,"
Working Papers
hal-01031565, HAL.
- 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.
- Ruiyue Lin & Zhiping Chen & Qianhui Hu & Zongxin Li, 2017. "Dynamic network DEA approach with diversification to multi-period performance evaluation of funds," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(3), pages 821-860, July.
- 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.
- Adam, Lukáš & Branda, Martin, 2021. "Risk-aversion in data envelopment analysis models with diversification," Omega, Elsevier, vol. 102(C).
- Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007.
"Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach,"
Management Science, INFORMS, vol. 53(1), pages 135-149, January.
- K. Kerstens, 2005. "Mean-Variance Skewness Portfolio Performance Gauging:A General Shortage Function and Dual Approach," Post-Print hal-00288765, HAL.
- Walter Briec & Kristiaan Kerstens & Octave Jokung, 2005. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Working Papers 2005-ECO-05, IESEG School of Management.
- W. Briec & K. Kerstens & Octave Jokung-Nguena, 2007. "Mean-variance-skewness portfolio performance gauging: A general shortage function and dual approach," Post-Print hal-00211572, HAL.
- Galagedera, Don U.A. & Fukuyama, Hirofumi & Watson, John & Tan, Eric K.M., 2020. "Do mutual fund managers earn their fees? New measures for performance appraisal," European Journal of Operational Research, Elsevier, vol. 287(2), pages 653-667.
- 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.
- O. Brandouy & K. Kerstens & I. van de Woestyne, 2010. "Exploring bi-criteria versus multi-dimensional lower partial moment portfolio models," Post-Print halshs-00558022, HAL.
- Lamb, John D. & Tee, Kai-Hong, 2012. "Data envelopment analysis models of investment funds," European Journal of Operational Research, Elsevier, vol. 216(3), pages 687-696.
- Xiao, Helu & Zhou, Zhongbao & Ren, Teng & Liu, Wenbin, 2022. "Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale," Omega, Elsevier, vol. 111(C).
- Massol, Olivier & Banal-Estañol, Albert, 2014. "Export diversification through resource-based industrialization: The case of natural gas," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1067-1082.
- Briec, Walter & Oms, Laurence & Paget-Blanc, Eric, 2014. "Shortage function and portfolio selection: On some special cases and extensions," Finance Research Letters, Elsevier, vol. 11(3), pages 295-302.
- Jiuping Xu & Xiaoyang Zhou & Steven Li, 2011. "A Class of Chance Constrained Multi-objective Portfolio Selection Model Under Fuzzy Random Environment," Journal of Optimization Theory and Applications, Springer, vol. 150(3), pages 530-552, September.
- Chambers, Robert G. & Färe, Rolf, 2011. "Efficiency analysis, shortage functions, arbitrage, and martingales," European Journal of Operational Research, Elsevier, vol. 213(1), pages 349-358, August.
- Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
- Zeng, Ximei & Zhou, Zhongbao & Gong, Yeming & Liu, Wenbin, 2022. "A data envelopment analysis model integrated with portfolio theory for energy mix adjustment: Evidence in the power industry," Socio-Economic Planning Sciences, Elsevier, vol. 83(C).
- S Lozano & E Gutiérrez, 2008. "TSD-consistent performance assessment of mutual funds," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(10), pages 1352-1362, October.
- Brandouy, Olivier & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2015.
"Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis,"
European Journal of Operational Research, Elsevier, vol. 242(1), pages 332-342.
- Olivier Brandouy & Kristiaan Kerstens & Ignace Van De Woestyne, 2015. "Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis," Post-Print hal-01533555, HAL.
- Xiao, Helu & Ren, Tiantian & Zhou, Zhongbao & Liu, Wenbin, 2021. "Parameter uncertainty in estimation of portfolio efficiency: Evidence from an interval diversification-consistent DEA approach," Omega, Elsevier, vol. 103(C).
- Liu, Wenbin & Zhou, Zhongbao & Liu, Debin & Xiao, Helu, 2015. "Estimation of portfolio efficiency via DEA," Omega, Elsevier, vol. 52(C), pages 107-118.
- Panayotis Alexakis & Ioannis Tsolas, 2011. "Appraisal of Mutual Equity Fund Performance Using Data Envelopment Analysis," Multinational Finance Journal, Multinational Finance Journal, vol. 15(3-4), pages 273-296, September.
- Marie Briere & Ariane Szafarz, 2017. "Factor Investing: The Rocky Road from Long-Only to Long-Short," Working Papers CEB 17-013, ULB -- Universite Libre de Bruxelles.
- Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
- 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.
- Zhou, Zhongbao & Xiao, Helu & Jin, Qianying & Liu, Wenbin, 2018. "DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure," European Journal of Operational Research, Elsevier, vol. 269(1), pages 111-131.