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This paper proposes a pragmatic, discrete time indicator to gauge the performance of portfolios 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...
Persistent link: https://www.econbiz.de/10008487998
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...
Persistent link: https://www.econbiz.de/10009415894
Persistent link: https://www.econbiz.de/10008424800
Persistent link: https://www.econbiz.de/10010569176
This contribution explores how multi-dimensional lower partial moment portfolio models are different from their bi-criteria counterparts. In particular, the mean semivariance and semi-skewness model that seems little used in practice is contrasted to the rather popular mean semi-variance and...
Persistent link: https://www.econbiz.de/10010618370
We explore the potential benefits of a series of existing and new non-parametric convex and non-convex frontier-based fund rating models to summarize the information contained in the moments of the mutual fund price series. Limiting ourselves to the traditional mean-variance portfolio setting,...
Persistent link: https://www.econbiz.de/10011117511
Successive CAP reforms have increased the exposure of European agriculture to market forces. As a result, farmers have become preoccupied with their competitiveness and have progressively adopted best practices. However, these long-run technological adjustments could be slowed down by eventual...
Persistent link: https://www.econbiz.de/10005483598
This paper develops a general approach for the single period portfolio optimization problem in a multidimensional general and partial moment space. A shortage function is defined that looks for possible increases in odd moments and decreases in even moments. A main result is that this shortage...
Persistent link: https://www.econbiz.de/10008551058
Persistent link: https://www.econbiz.de/10005810046
Persistent link: https://www.econbiz.de/10005598330