Brandouy, Olivier; Briec, Walter; Kerstens, Kristiaan; … - In: Journal of Banking & Finance 34 (2010) 8, pp. 1899-1910
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...