Portfolio performance gauging in discrete time using a Luenberger productivity indicator

Olivier Brandouy (), Walter Briec, Kristiaan Kerstens and Ignace Van de Woestyne

Journal of Banking & Finance, 2010, vol. 34, issue 8, 1899-1910

Abstract: This paper proposes a pragmatic, discrete time indicator to gauge the performance of portfolios over time. Integrating the shortage function (Luenberger, 1995) into a Luenberger portfolio productivity indicator (Chambers, 2002), this study estimates the changes in the relative positions of portfolios with respect to the traditional Markowitz mean-variance efficient frontier, as well as the eventual shifts of this frontier over time. Based on the analysis of local changes relative to these mean-variance and higher moment (in casu, mean-variance-skewness and mean-variance-skewness-kurtosis) frontiers, this methodology allows to neatly separate between on the one hand performance changes due to portfolio strategies and on the other hand performance changes due to the market evolution. This methodology is empirically illustrated using a mimicking portfolio approach ([Fama and French, 1996] and [Fama and French, 1997]) using US monthly data from January 1931 to August 2007.

Keywords: Shortage; function; Mean-variance; Mean-variance-skewness; Mean-variance-skewness-kurtosis; Efficient; portfolios; Luenberger; portfolio; productivity; indicator (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378-4266(09)00341-0
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Portfolio performance gauging in discrete time using a luenberger productivity indicator (2010)
Working Paper: Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator (2009)
Working Paper: Portfolio performance gauging in discrete time using a Luenberger productivity indicator (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:8:p:1899-1910

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().