Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings !

Kristiaan Kerstens, A. Mounir and I. van de Woestyne

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Keywords: shortage function; efficient frontier; mean-variance efficiency (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

Published in Journal of the Operational Research Society, 2012, 63 (9), pp.1199-1212. ⟨10.1057/jors.2011.140⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00728318

DOI: 10.1057/jors.2011.140

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