Portfolio performance evaluation in a mean--variance--skewness framework

DOI10.1016/j.ejor.2005.05.006zbMath1137.91453MaRDI QIDQ2432863

Tarja Joro, Paul Na

Publication date: 25 October 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.05.006

zbMATH Keywords

data envelopment analysis; skewness; CAPM; efficient frontier; mutual funds; portfolio performance

Mathematics Subject Classification ID

91B84: Economic time series analysis

91G10: Portfolio theory

Related Items

Data envelopment analysis models of investment funds, Portfolio rebalancing model using multiple criteria, Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function, Gains from diversification on convex combinations: a majorization and stochastic dominance approach, Expected value multiobjective portfolio rebalancing model with fuzzy parameters, Data envelopment analysis of mutual funds based on second-order stochastic dominance

Uses Software

• DEA

Cites Work

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• Measuring the efficiency of decision making units
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Prospect Theory: An Analysis of Decision under Risk
• The Efficiency Analysis of Choices Involving Risk
• A data envelopment analysis approach to measure the mutual fund performance