Portfolio performance evaluation in a mean–variance–skewness framework

Portfolio performance evaluation in a mean–variance–skewness framework

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Article ID: iaor20083904
Country: Netherlands
Volume: 175
Issue: 1
Start Page Number: 446
End Page Number: 461
Publication Date: Nov 2006
Journal: European Journal of Operational Research
Authors: ,
Keywords: statistics: data envelopment analysis
Abstract:

Astronomical amounts of money are being invested in financial markets. Consequently the evaluation of portfolio performance has created a great deal of interest among practitioners as well as academic researchers. The literature suggests that portfolio efficiency based on mean–variance–skewness is more desirable than the one based on mean–variance. However, there are no well-established procedures to measure efficiency in this framework, mainly due to the computational difficulties. The aim of this paper is to develop a portfolio performance measure based on mean–variance–skewness framework by utilizing a non-parametric efficiency analysis tool, namely ‘Data Envelopment Analysis’.

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