Portfolio performance evaluation in a mean--variance--skewness framework
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Publication:2432863
DOI10.1016/J.EJOR.2005.05.006zbMATH Open1137.91453OpenAlexW2005303724MaRDI QIDQ2432863FDOQ2432863
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
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Cites Work
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- A data envelopment analysis approach to measure the mutual fund performance
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Cited In (37)
- Expected value multiobjective portfolio rebalancing model with fuzzy parameters
- Data envelopment analysis models of investment funds
- Portfolio optimization in real financial markets with both uncertainty and randomness
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm
- Evaluating the dynamic performance of energy portfolios: empirical evidence from the DEA directional distance function
- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
- Usage of Cholesky decomposition in order to decrease the nonlinear complexities of some nonlinear and diversification models and present a model in framework of mean-semivariance for portfolio performance evaluation
- Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization
- Portfolio rebalancing model using multiple criteria
- Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- Estimation of fuzzy portfolio efficiency via an improved DEA approach
- Performance evaluation of portfolios with margin requirements
- Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
- A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
- Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
- Analyzing operational risk-reward trade-offs for start-ups
- Ranking of investment funds: acceptability versus robustness
- Gains from diversification on convex combinations: a majorization and stochastic dominance approach
- Resampling DEA estimates of investment fund performance
- Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds
- Selecting the best of portfolio using OWA operator weights in cross efficiency-evaluation
- Reformulations of input-output oriented DEA tests with diversification
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Signal and image processing of physiological data: methods for diagnosis and treatment purposes
- First passage times in portfolio optimization: a novel nonparametric approach
- Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
- Title not available (Why is that?)
- Multi-objective mean-variance-skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties
- Portfolio optimization with asset preselection using data envelopment analysis
- Performance evaluation of portfolios with fuzzy returns
- Efficient portfolios and extreme risks: a Pareto-Dirichlet approach
- Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result
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