Portfolio performance gauging in discrete time using a luenberger productivity indicator

Olivier Brandouy (), W. Briec, Kristiaan Kerstens and I. van de Woestyne

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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
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Citations: View citations in EconPapers (15)

Published in Journal of Banking and Finance, 2010, 34 (8), pp.1899-1910. ⟨10.1016/j.jbankfin.2009.12.015⟩

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Journal Article: 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)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00490032

DOI: 10.1016/j.jbankfin.2009.12.015

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