Open Access

Performance Gauging of Portfolio: Luenberger Distance Function Approach on Sarajevo Stock Exchange


Cite

Agarwal, V. and Naik, N. Y. 2004. Risk and portfolio decisions involving hedge funds, Review of Financial Studies 17(1): 63-98.10.1093/rfs/hhg044Search in Google Scholar

Amenc, N., Goltz, F., Martellini, L. and Retkowsky, P. 2010. Efficient Indexation: An Alternative to Cap-Weighted Indices, Nice: An EDHEC-Risk Institute Publication.Search in Google Scholar

Andiramasy, L. R., Briec, W. and Rakotondramaro, H. H. 2017. A Luenberger Hicks-Moorsteen Portfolio Productivity Indicator, Working paper.Search in Google Scholar

Bacon, C. R. 2012. Practical Risk-Adjusted Performance Measurement, New York: John Wiley & Sons.10.1002/9781118673621Search in Google Scholar

Bacon, C. R. 2012. Practical Risk-Adjusted Performance Measurement, New York: John Wiley & Sons.10.1002/9781118673621Search in Google Scholar

Baele, L., Bekaert, G. and Schäfer, L. 2008. An anatomy of central and eastern European equity markets. European Bank for Reconstruction and Development Working paper, No. 181.Search in Google Scholar

Bernardo, A. E. and Ledoit, O. 2000. Gain, loss and asset pricing. Journal of Political Economy 108(1): 144-172.10.1086/262114Search in Google Scholar

Bloomfield, R., O’Hara, M. and Saar, G. 2009. How Noise Trading Affects Markets: An Experimental Analysis. The Review of Financial Studies 22(6): 2275–2302.10.1093/rfs/hhn102Search in Google Scholar

Briec, W. K. and Kerstens, K. 2009b. Multi-Horizon Markowitz Portfolio Performance Appraisals: A General Approach. Omega 371: 50-62.10.1016/j.omega.2006.07.007Search in Google Scholar

Briec, W. K. and Kerstens, K. 2010. Portfolio selection in multidimensional general and partial moment space. Journal of Economic Dynamics & Control 34: 636-656.10.1016/j.jedc.2009.11.001Search in Google Scholar

Briec, W., K and Kerstens 2009a. The Luenberger productivity indicator: An economic specification leading to infeasibilities. Economic Modelling 26: 597-600.10.1016/j.econmod.2009.01.007Search in Google Scholar

Briec, W., Kerstens, K. and Jokung, O. 2007. Mean-variance-skewness portfolio performance gauging: A general shortage function and dual approach. Management science 531: 135-149.10.1287/mnsc.1060.0596Search in Google Scholar

Burke, G. 1994. A Sharper Sharpe Ratio. Futures 23(3): 56-57.Search in Google Scholar

Carhart, M. M. 1997) On persistence in mutual fund performance. The Journal of Finance 52(1): 57-82.10.1111/j.1540-6261.1997.tb03808.xSearch in Google Scholar

Chambers, R., Chung, Y., and Färe, R. 1998. Profit, Directional Distance Function, and Nerlovian Efficiency. Journal of Optimization Theory and Applications 98: 351–364.10.1023/A:1022637501082Search in Google Scholar

Chen, J. M. 2016. Postmodern portfolio theory, New York: Palgrave Macmillan.10.1057/978-1-137-54464-3Search in Google Scholar

Fabozzi, F. J. and Pachamanova, D. A. 2016. Portfolio Construction and Analytics, New Jersey: John Wiley & Sons, Inc.10.1002/9781118656747Search in Google Scholar

Jensen, M. 1968. The performance of mutual funds in the period 1945-1964. The Journal of Finance 23: 389-416.10.1111/j.1540-6261.1968.tb00815.xSearch in Google Scholar

Jurczenko, E. F., Maillet, B. B. and Merlin, P. M. 2006. Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier, in Multi-moment Asset Allocation and Pricing Models. Editors: Jurczenko, E. F. and Maillet, B. B. New York: John Wiley & Sons.10.2139/ssrn.676904Search in Google Scholar

Jurczenko, E. F., Maillet, B. B. and Merlin, P. M. 2008. Efficient Frontier for Robust Higher-order Moment Portfolio Selection. CES working papers.Search in Google Scholar

Kerstens, K., Mounir, A. and Van de Woestyne, I. 2010. Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function. European Journal of Operational Reserch 210: 81-94.10.1016/j.ejor.2010.09.014Search in Google Scholar

Kerstens, K., Mounir, A. and Van de Woestyne, I. 2012. Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings!. The Journal of the Operational Research Society 639: 1199-1212.10.1057/jors.2011.140Search in Google Scholar

Kestner, L. N. 1996. Getting a Handle on True Performance. Futures 25(1): 44-46.Search in Google Scholar

Luenberger, D. G. 1992. Benefit Function and Duality. Journal of Mathematical Economics 21: 461-481.10.1016/0304-4068(92)90035-6Search in Google Scholar

Luenberger, D. G. 1995. Microeconomic Theory. New York: McGraw Hill.Search in Google Scholar

Markoiwtz, H. M. 1959. Portfolio Selection: Efficient Diversification of Investments, New York: John Wiley & Sons.Search in Google Scholar

Markowitz, H. M. 1952. Portfolio Selection. The Journal of Finance 7(1): 77-91.10.1111/j.1540-6261.1952.tb01525.xSearch in Google Scholar

Modigliani, F. and Modigliani, L. 1997. Risk-adjusted performance. Journal of Portfolio Management 23(2): 45-54.10.3905/jpm.23.2.45Search in Google Scholar

Morey, M. R. and Morey, R. C. 1999. Mutual Fund Performance Appraisals: A Multi-Horizon Perspective with Endogenous Benchmarking. Omega 27: 241–25810.1016/S0305-0483(98)00043-7Search in Google Scholar

Pezier, J. and White, A. 2006. The Relative Merits of Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios. ICMA Discussion Papers in Finance.Search in Google Scholar

Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance 19(3): 425-442.10.1111/j.1540-6261.1964.tb02865.xSearch in Google Scholar

Sharpe, W. F. 1994. The Sharpe Ratio. Journal of Portfolio Management 21: 49-58.10.3905/jpm.1994.409501Search in Google Scholar

Sortino, F. and van der Meer, R. 1991. Downside risk. Journal of Portfolio Management 17(4): 27-31.10.3905/jpm.1991.409343Search in Google Scholar

Subhash, C. R. 2004. Data Envelopment Analysis – Theory and Techniques for Economics and Operations Research. Cambridge: Cambridge university press.Search in Google Scholar

Taylan, A. S. and Tathdil, H. 2010. Portfolio optimization with shortage function and higher order moments: an application in ISE-30. In: MEC EurOPT 2010 Selected papers. Vilnius. Editors: Kasımbeyli, R., Dinçer, C., Özpeynirci, S. and Sakalauskaspp, L.: 348–354.Search in Google Scholar

Tetlock, P. C. 2008. Liquidity and Prediction Market Efficiency. SSRN papers.10.2139/ssrn.929916Search in Google Scholar

Tetlock, P. C. 2011. All the News That’s Fit to Reprint: Do Investors React to Stale Information?. The Review of Financial Studies 24(5): 1481–1512.10.1093/rfs/hhq141Search in Google Scholar

Treynor, J. L. 1961. Market Value, Time, and Risk, available at: http://dx.doi.org/10.2139/ssrn.2600356.10.2139/ssrn.2600356Open DOISearch in Google Scholar

Treynor, J. L. 1962. Toward a Theory of Market Value of Risky Assets, available at: https://ssrn.com/abstract=628187.Search in Google Scholar

eISSN:
2233-1999
Language:
English
Publication timeframe:
2 times per year
Journal Subjects:
Business and Economics, Business Management, other, Political Economics