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Title: Benchmarking mean-variance portfolios using a shortage function: The choice of direction vector affects rankings!
Authors: Kerstens, Kristiaan ×
Mounir, Amine
Van de Woestyne, Ignace #
Issue Date: 2012
Publisher: Published by Pergamon Press for Operational Research Society
Series Title: Journal of the Operational Research Society vol:63 pages:1199-1212
Abstract: In addition to its use in Data Envelopment Analysis (DEA) models, the shortage function has been proposed as a tool to gauge performance in multi-moment portfolio models. An open issue is how the choice of direction vector affects the efficiency measurement, especially when some of the data can be negative and, from a practical point of view, whether and how the resulting league tables are affected. This paper illustrates empirically how the choice of direction vector affects the relative ranking of mean-variance portfolios. This result is relevant to all frontier-based applications, especially those where some of the data can be naturally negative.
ISSN: 0160-5682
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Faculty of Economics and Business (FEB) - miscellaneous
Research Centre for Mathematical Economics, Econometrics and Statistics, Campus Brussels (-)
× corresponding author
# (joint) last author

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