This contribution compares existing and newly developed techniques for geometrically representing mean-variance-skewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage...

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures...

Introducing a new difference-based Luenberger-Hicks-Moorsteen productivity indicator, this contribution establishes theoretically its relations with some existing ratio- and difference-based productivity indexes and indicators. The first main result is an approximation proposition stating that...

This empirical application investigates the eventual presence of credit constraints using a panel of French farmers. The credit-constrained profit maximization model proposed by Färe, Grosskopf, and Lee is extended in three ways. First, we rephrase the model in terms of directional distance...

This article extends the analysis of multi-horizon mean-variance portfolio analysis in the Morey and Morey [Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega 1999;27:241-58] article in several ways. First, instead of either proportionally contracting...

This empirical application investigates the eventual presence of credit constraints using a panel of French farmers. The credit-constrained profit maximization model proposed by Färe, Grosskopf, and Lee is extended in three ways. First, we rephrase the model in terms of directional distance...

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...