Brandouy, Olivier; Briec, Walter; Kerstens, Kristiaan; … - IÉSEG School of Management, Université Catholique de Lille - 2008
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...
