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Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector

Author

Listed:
  • Kerstens, Kristiaan

    (IESEG School of Management, F-59000 Lille, France)

  • Mounir, Amine

    (Hogeschool-Universiteit Brussel (HUB), Belgium)

  • Van de Woestyne, Ignace

    (Hogeschool-Universiteit Brussel (HUB), Belgium)

Abstract

The shortage function has been proposed as a tool to gauge portfolio performance in multi-moment portfolio models. An open issue is how the choice of direction vector affects the efficiency measurement and, from a practical point of view, the resulting league tables. This paper illustrates empirically how the choice of direction vector affects the relative ranking of portfolios.

Suggested Citation

  • Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector," Working Papers 2010/01, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    • Handle: RePEc:hub:wpecon:201001
    as

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    References listed on IDEAS

    as
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