Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function (Q1431697): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function	scientific article

Statements

instance of

scholarly article

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title

Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function (English)

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author

Walter Briec

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Jean-Baptiste Lesourd

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Kristiaan Kerstens

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published in

Journal of Optimization Theory and Applications

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publication date

11 June 2004

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zbMATH Keywords

Shortage function

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efficient frontier

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risk aversion

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mean-variance portfolios

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MaRDI profile type

MaRDI publication profile

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cites work

Profit, directional distance functions, and Nerlovian efficiency

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Benefit functions and duality

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Nonparametric tests of efficiency of portfolio investment

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The Nonparametric Approach to Demand Analysis

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Nonparametric tests of regularity, Farrell efficiency, and goodness-of-fit

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Metric distance function and profit: Some duality results

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Welfare from a benefit viewpoint

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Q5588268

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Q3688092

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A survey of frontier production functions and of their relationship to efficiency measurement

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Identifiers

zbMATH Open document ID

1064.91042

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DOI

10.1023/B:JOTA.0000012730.36740.bb

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Mathematics Subject Classification ID

91G10

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zbMATH DE Number

2073483

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Sitelinks

Mathematics(1 entry)

mardi Publication:1431697

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-Kristiaan Kerstens
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@@ Property / author @@
+Kristiaan Kerstens
@@ Property / author: Kristiaan Kerstens / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / cites work @@
+Profit, directional distance functions, and Nerlovian efficiency
+Normal rank
@@ Property / cites work @@
+Benefit functions and duality
@@ Property / cites work: Benefit functions and duality / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric tests of efficiency of portfolio investment
+Normal rank
@@ Property / cites work @@
+The Nonparametric Approach to Demand Analysis
@@ Property / cites work: The Nonparametric Approach to Demand Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric tests of regularity, Farrell efficiency, and goodness-of-fit
+Normal rank
@@ Property / cites work @@
+Metric distance function and profit: Some duality results
+Normal rank
@@ Property / cites work @@
+Welfare from a benefit viewpoint
@@ Property / cites work: Welfare from a benefit viewpoint / rank @@
+Normal rank
@@ Property / cites work @@
+Q5588268
@@ Property / cites work: Q5588268 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3688092
@@ Property / cites work: Q3688092 / rank @@
+Normal rank
@@ Property / cites work @@
+A survey of frontier production functions and of their relationship to efficiency measurement
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1431697