Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...

Comparing portfolio performance is complex due to the fact that each model is dominant in its own risk space. Since there is no single dominant performance measure, the research problem is how to incorporate several different measures into a performance evaluation model that allows portfolios to...

Financial performance analysis is of vital importance those involved in a business (e.g., shareholders, creditors, partners, and company managers). An accurate and appropriate performance measurement is critical for decision-makers to achieve efcient results. Integrated performance measurement,...