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Benchmarking mean-variance portfolios using a shortage function / Kerstens, K. in Journal of the operational research society (JORS), Vol. 63 N° 9 (Septembre 2012) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 63 N° 9 (Septembre 2012) . - pp. 1199–1212 Titre : Benchmarking mean-variance portfolios using a shortage function : the choice of direction vector affects rankings! Type de document : texte imprimé Auteurs : Kerstens, K., Auteur ; A. Mounir, Auteur ; I. Van de Woestyne, Auteur Année de publication : 2012 Article en page(s) : pp. 1199–1212 Note générale : Operational research Langues : Anglais (eng) Mots-clés : Shortage  function  Efficient  frontier  Mean-variance  efficiency Index. décimale : 001.424 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 [article] Benchmarking mean-variance portfolios using a shortage function : the choice of direction vector affects rankings! [texte imprimé] / Kerstens, K., Auteur ; A. Mounir, Auteur ; I. Van de Woestyne, Auteur . - 2012 . - pp. 1199–1212. Operational research Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 63 N° 9 (Septembre 2012) . - pp. 1199–1212 Mots-clés : Shortage  function  Efficient  frontier  Mean-variance  efficiency Index. décimale : 001.424 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