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

Kristiaan Kerstens, Amine Mounir () and Ignace Van de Woestyne ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://lirias.hubrussel.be/bitstream/123456789/3240/3/10HRP01.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to lirias.hubrussel.be:443 (nodename nor servname provided, or not known)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hub:wpecon:201001

Access Statistics for this paper

More papers in Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management Contact information at EDIRC.
Bibliographic data for series maintained by Sabine Janssens ( this e-mail address is bad, please contact ).