Single period Markowitz portfolio selection, performance gauging and duality: a variation on Luenberger's shortage function


Autoria(s): Briec, Walter; Kerstens, Kristiaan; Lesourd, Jean-Baptiste
Contribuinte(s)

Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa

Data(s)

01/04/2002

Resumo

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

Formato

775587 bytes

application/pdf

Identificador

http://hdl.handle.net/2072/163

Idioma(s)

eng

Publicador

Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa

Relação

Document de treball (Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa);02/3

Direitos

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Palavras-Chave #Cartera de valors -- Administració #Inversions -- Models matemàtics
Tipo

info:eu-repo/semantics/workingPaper