Performance Gauging of Portfolio: Luenberger Distance Function Approach on Sarajevo Stock Exchange
References
- Agarwal, V. and Naik, N. Y. 2004. Risk and portfolio decisions involving hedge funds, Review of Financial Studies 17(1): 63-98.
- Amenc, N., Goltz, F., Martellini, L. and Retkowsky, P. 2010. Efficient Indexation: An Alternative to Cap-Weighted Indices, Nice: An EDHEC-Risk Institute Publication.
- Andiramasy, L. R., Briec, W. and Rakotondramaro, H. H. 2017. A Luenberger Hicks-Moorsteen Portfolio Productivity Indicator, Working paper.
- Bacon, C. R. 2012. Practical Risk-Adjusted Performance Measurement, New York: John Wiley & Sons.
- Bacon, C. R. 2012. Practical Risk-Adjusted Performance Measurement, New York: John Wiley & Sons.
- Baele, L., Bekaert, G. and Schäfer, L. 2008. An anatomy of central and eastern European equity markets. European Bank for Reconstruction and Development Working paper, No. 181.
- Bernardo, A. E. and Ledoit, O. 2000. Gain, loss and asset pricing. Journal of Political Economy 108(1): 144-172.
- Bloomfield, R., O’Hara, M. and Saar, G. 2009. How Noise Trading Affects Markets: An Experimental Analysis. The Review of Financial Studies 22(6): 2275–2302.
- Briec, W. K. and Kerstens, K. 2009b. Multi-Horizon Markowitz Portfolio Performance Appraisals: A General Approach. Omega 371: 50-62.
- Briec, W. K. and Kerstens, K. 2010. Portfolio selection in multidimensional general and partial moment space. Journal of Economic Dynamics & Control 34: 636-656.
- Briec, W., K and Kerstens 2009a. The Luenberger productivity indicator: An economic specification leading to infeasibilities. Economic Modelling 26: 597-600.
- Briec, W., Kerstens, K. and Jokung, O. 2007. Mean-variance-skewness portfolio performance gauging: A general shortage function and dual approach. Management science 531: 135-149.
- Burke, G. 1994. A Sharper Sharpe Ratio. Futures 23(3): 56-57.
- Carhart, M. M. 1997) On persistence in mutual fund performance. The Journal of Finance 52(1): 57-82.
- Chambers, R., Chung, Y., and Färe, R. 1998. Profit, Directional Distance Function, and Nerlovian Efficiency. Journal of Optimization Theory and Applications 98: 351–364.
- Chen, J. M. 2016. Postmodern portfolio theory, New York: Palgrave Macmillan.
- Fabozzi, F. J. and Pachamanova, D. A. 2016. Portfolio Construction and Analytics, New Jersey: John Wiley & Sons, Inc.
- Jensen, M. 1968. The performance of mutual funds in the period 1945-1964. The Journal of Finance 23: 389-416.
- Jurczenko, E. F., Maillet, B. B. and Merlin, P. M. 2006. Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier, in Multi-moment Asset Allocation and Pricing Models. Editors: Jurczenko, E. F. and Maillet, B. B. New York: John Wiley & Sons.
- Jurczenko, E. F., Maillet, B. B. and Merlin, P. M. 2008. Efficient Frontier for Robust Higher-order Moment Portfolio Selection. CES working papers.
- Kerstens, K., Mounir, A. and Van de Woestyne, I. 2010. Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function. European Journal of Operational Reserch 210: 81-94.
- Kerstens, K., Mounir, A. and Van de Woestyne, I. 2012. Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings!. The Journal of the Operational Research Society 639: 1199-1212.
- Kestner, L. N. 1996. Getting a Handle on True Performance. Futures 25(1): 44-46.
- Luenberger, D. G. 1992. Benefit Function and Duality. Journal of Mathematical Economics 21: 461-481.
- Luenberger, D. G. 1995. Microeconomic Theory. New York: McGraw Hill.
- Markoiwtz, H. M. 1959. Portfolio Selection: Efficient Diversification of Investments, New York: John Wiley & Sons.
- Markowitz, H. M. 1952. Portfolio Selection. The Journal of Finance 7(1): 77-91.
- Modigliani, F. and Modigliani, L. 1997. Risk-adjusted performance. Journal of Portfolio Management 23(2): 45-54.
- Morey, M. R. and Morey, R. C. 1999. Mutual Fund Performance Appraisals: A Multi-Horizon Perspective with Endogenous Benchmarking. Omega 27: 241–258
- Pezier, J. and White, A. 2006. The Relative Merits of Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios. ICMA Discussion Papers in Finance.
- Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance 19(3): 425-442.
- Sharpe, W. F. 1994. The Sharpe Ratio. Journal of Portfolio Management 21: 49-58.
- Sortino, F. and van der Meer, R. 1991. Downside risk. Journal of Portfolio Management 17(4): 27-31.
- Subhash, C. R. 2004. Data Envelopment Analysis – Theory and Techniques for Economics and Operations Research. Cambridge: Cambridge university press.
- Taylan, A. S. and Tathdil, H. 2010. Portfolio optimization with shortage function and higher order moments: an application in ISE-30. In: MEC EurOPT 2010 Selected papers. Vilnius. Editors: Kasımbeyli, R., Dinçer, C., Özpeynirci, S. and Sakalauskaspp, L.: 348–354.
- Tetlock, P. C. 2008. Liquidity and Prediction Market Efficiency. SSRN papers.
- Tetlock, P. C. 2011. All the News That’s Fit to Reprint: Do Investors React to Stale Information?. The Review of Financial Studies 24(5): 1481–1512.
- Treynor, J. L. 1961. Market Value, Time, and Risk, available at: http://dx.doi.org/10.2139/ssrn.2600356.10.2139/ssrn.2600356
- Treynor, J. L. 1962. Toward a Theory of Market Value of Risky Assets, available at: https://ssrn.com/abstract=628187.
DOI: https://doi.org/10.2478/jeb-2019-0007 | Journal eISSN: 2233-1999
Language: English
Page range: 92 - 100
Published on: Aug 6, 2019
Published by: University of Sarajevo
In partnership with: Paradigm Publishing Services
Publication frequency: 2 times per year
Keywords:
Related subjects:
© 2019 Tihana Škrinjarić, published by University of Sarajevo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.