Multi-horizon Markowitz portfolio performance appraisals: A general approach

Walter Briec and Kristiaan Kerstens

Omega, 2009, vol. 37, issue 1, 50-62

Abstract: This article extends the analysis of multi-horizon mean-variance portfolio analysis in the Morey and Morey [Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega 1999;27:241-58] article in several ways. First, instead of either proportionally contracting risk dimensions or proportionally expanding return dimensions, a more general efficiency measure simultaneously attempts to reduce risk and to expand return over all time periods. Second, a duality relation is established between this generalized multi-horizon efficiency measure and an indirect mean-variance utility function, underscoring the natural interpretation of this generalized efficiency measure in terms of investor's preferences. Furthermore, the need to properly apply time discounting in multi-horizon mean-variance portfolio problems is argued for. An empirical illustration based on the original mutual fund data set in Morey and Morey [Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega 1999;27:241-58] is added to contrast the new and the original approaches.

Keywords: Portfolio; selection; Mathematical; programming (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (41)

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Related works:
Working Paper: Multi-horizon markowitz portfolio performance appraisals: a general approach (2009)
Working Paper: Multi-Horizon Markowitz Porfolio Performance Appraisals: A General approach (2006)
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