| Titre : | Benchmarking mean-variance portfolios using a shortage function : the choice of direction vector affects rankings! (2012) |
| Auteurs : | Kerstens, K., Auteur ; A. Mounir, Auteur ; I. Van de Woestyne, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Journal of the operational research society (JORS) (Vol. 63 N° 9, Septembre 2012) |
| Article en page(s) : | pp. 1199–1212 |
| Note générale : | Operational research |
| Langues : | Anglais |
| Index. décimale : | 001.424 |
| Tags : | Shortage function Efficient frontier Mean-variance efficiency |
| Résumé : | In addition to its use in data envelopment analysis models, the shortage function has been proposed as a tool to gauge performance in multi-moment portfolio models. An open issue is how the choice of direction vector affects the efficiency measurement, especially when some of the data can be negative and, from a practical point of view, whether and how the resulting league tables are affected. This paper illustrates empirically how the choice of direction vector affects the relative ranking of mean-variance portfolios. This result is relevant to all frontier-based applications, especially those where some of the data can be naturally negative. |
| DEWEY : | 001.424 |
| ISSN : | 0160-5682 |
| En ligne : | http://www.palgrave-journals.com/jors/journal/v63/n9/abs/jors2011140a.html |
