Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector

Kristiaan Kerstens, Amine Mounir () and Ignace Van de Woestyne ()
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Amine Mounir: Hogeschool-Universiteit Brussel (HUB), Belgium
Ignace Van de Woestyne: Hogeschool-Universiteit Brussel (HUB), Belgium

No 2010/01, Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management

Abstract: The shortage function has been proposed as a tool to gauge portfolio performance in multi-moment portfolio models. An open issue is how the choice of direction vector affects the efficiency measurement and, from a practical point of view, the resulting league tables. This paper illustrates empirically how the choice of direction vector affects the relative ranking of portfolios.

Keywords: shortage function; efficient frontier; mean-variance efficiency (search for similar items in EconPapers)
Pages: 24 page
Date: 2010-01
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