Portfolio performance gauging in discrete time using a Luenberger productivity indicator

Olivier Brandouy (), Walter Briec and Kristiaan Kerstens
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Walter Briec: LAMPS, University of Perpignan, Perpignan, France.

No 2008/60, Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management

Abstract: This paper proposes a pragmatic, discrete time indicator to gauge the performance of port-folios 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 e±- cient 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) 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; 1997) using US monthly data from January 1931 to August 2007.

Keywords: shortage function; mean-variance; mean-variance-skewness; e±cient portfolios; Luenberger portfolio productivity indicator (search for similar items in EconPapers)
Pages: 25 pages
Date: 2008-10-07
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Related works:
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 (2010)
Working Paper: Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator (2009)
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