4.7 Article

Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy

Related references

Note: Only part of the references are listed.
Article Management

Risk-aversion in data envelopment analysis models with diversification

Lukas Adam et al.

Summary: The study focuses on data envelopment analysis models that can identify efficient investment opportunities, but do not consider the individual risk aversion of investors. Several approaches based on spectral risk measures are introduced to address this drawback, and are compared in an empirical study.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2021)

Article Operations Research & Management Science

Estimation of portfolio efficiency considering social responsibility: evidence from the multi-horizon diversification DEA

Tiantian Ren et al.

Summary: This paper investigates the performance evaluation of portfolios in a multi-horizon framework, proposes diversified models based on the DEA method, and discusses the impact of social responsibility on portfolio efficiency.

RAIRO-OPERATIONS RESEARCH (2021)

Article Economics

Directional distance functions and social welfare: Some axiomatic and dual properties

Walter Briec et al.

Summary: The paper introduces a directional distance function (DDF) in social choice theory to quantify inefficiency of an allocation relative to the utility possibilities frontier. It shows the geometric interpretation of DDF and its connection to a complete transitive preference relation. Additionally, it discusses the duality of Rawls welfare function to DDF and introduces a more general class of distance functions related to welfare functions used in economic inequality studies.

MATHEMATICAL SOCIAL SCIENCES (2021)

Article Economics

Nonparametric portfolio efficiency measurement with higher moments

Jens J. Krueger

Summary: The paper explores a nonparametric approach for determining portfolio efficiency by using specific directions towards the portfolio frontier function, allowing for incorporation of higher moments of the returns distribution beyond mean and variance. The extension of the nonparametric approach involves computing optimal directions by maximizing the distance towards the portfolio frontier, with skewness playing a key role in determining the optimal direction.

EMPIRICAL ECONOMICS (2021)

Article Management

Directional distance based diversification super-efficiency DEA models for mutual funds

Ruiyue Lin et al.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2020)

Article Business, Finance

A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Kris Boudt et al.

JOURNAL OF FINANCIAL ECONOMETRICS (2020)

Article Management

Metatechnology frontier and convexity: A restatement

Kristiaan Kerstens et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2019)

Article Business, Finance

Stability in mutual fund performance rankings: A new proposal

Pilar Grau-Carles et al.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2019)

Article Economics

Hedge fund return higher moments over the business cycle

Francois-Eric Racicot et al.

ECONOMIC MODELLING (2019)

Review Economics

Higher order risk attitudes: A review of experimental evidence

Stefan T. Trautmann et al.

EUROPEAN ECONOMIC REVIEW (2018)

Article Business, Finance

Multi-moment risk, hedging strategies, & the business cycle

Francois-Eric Racicot et al.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2018)

Article Operations Research & Management Science

Dynamic network DEA approach with diversification to multi-period performance evaluation of funds

Ruiyue Lin et al.

OR SPECTRUM (2017)

Article Business, Finance

Reviewing the hedge funds literature II: Hedge funds' returns and risk management characteristics

Izidin El Kalak et al.

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS (2016)

Article Management

Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis

Olivier Brandouy et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2015)

Article Management

Using medians in portfolio optimization

Stefano Benati

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (2015)

Article Management

Diversification-consistent data envelopment analysis based on directional-distance measures

Martin Branda

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2015)

Article Management

Estimation of portfolio efficiency via DEA

Wenbin Liu et al.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2015)

Article Operations Research & Management Science

On relations between DEA-risk models and stochastic dominance efficiency tests

Martin Branda et al.

CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH (2014)

Article Management

Twenty years of linear programming based portfolio optimization

Renata Mansini et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Management

Export diversification through resource-based industrialization: The case of natural gas

Olivier Massol et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2014)

Article Operations Research & Management Science

Efficient trading frontier: a shortage function approach

Reshma Khemchandani et al.

OPTIMIZATION (2014)

Article Economics

A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES

Massimiliano Caporin et al.

JOURNAL OF ECONOMIC SURVEYS (2014)

Article Economics

A characterization of the coskewness-cokurtosis pricing model

Kerry Back

ECONOMICS LETTERS (2014)

Article Management

Portfolio selection with skewness: A comparison of methods and a generalized one fund result

Walter Briec et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2013)

Article Management

Diversification-consistent data envelopment analysis with general deviation measures

Martin Branda

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2013)

Article Business, Finance

Are performance measures equally stable?

Giovanna Menardi et al.

ANNALS OF FINANCE (2012)

Article Business, Finance

Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

Kristiaan Kerstens et al.

JOURNAL OF BANKING & FINANCE (2011)

Article Business, Finance

Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies

Jun Tu et al.

JOURNAL OF FINANCIAL ECONOMICS (2011)

Article Management

Analysis of hedge fund strategies using slack-based DEA models

U. D. Kumar et al.

JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (2010)

Article Operations Research & Management Science

Lipschitz properties of the scalarization function and applications

Christiane Tammer et al.

OPTIMIZATION (2010)

Article Business, Finance

Portfolio selection with higher moments

Campbell R. Harvey et al.

QUANTITATIVE FINANCE (2010)

Article Business, Finance

The performance of hedge funds and mutual funds in emerging markets

Martin Eling et al.

JOURNAL OF BANKING & FINANCE (2010)

Article Economics

Portfolio selection in multidimensional general and partial moment space

Walter Briec et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2010)

Article Business, Finance

Conditionally fitted Sharpe performance with an application to hedge fund rating

Serge Darolles et al.

JOURNAL OF BANKING & FINANCE (2010)

Article Management

Multi-horizon Markowitz portfolio performance appraisals: A general approach

Walter Briec et al.

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE (2009)

Article Business, Finance

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

Victor DeMiguel et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

Does the choice of performance measure influence the evaluation of hedge funds?

Martin Eling et al.

JOURNAL OF BANKING & FINANCE (2007)

Article Management

Portfolio performance evaluation in a mean-variance-skewness framework

Tarja Joro et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2006)

Article Economics

Putting risk in its proper place

L Eeckhoudt et al.

AMERICAN ECONOMIC REVIEW (2006)

Article Engineering, Industrial

Temporal technical and profit efficiency measurement: Definitions, duality and aggregation results

Walter Briec et al.

INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS (2006)

Article Management

Hedge fund performance appraisal using data envelopment analysis

GN Gregoriou et al.

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2005)

Article Meteorology & Atmospheric Sciences

The relationship between skewness and kurtosis of a diffusing scalar

TP Schopflocher et al.

BOUNDARY-LAYER METEOROLOGY (2005)

Article Economics

Non-convex technologies and cost functions: Definitions, duality and nonparametric tests of convexity

W Briec et al.

JOURNAL OF ECONOMICS-ZEITSCHRIFT FUR NATIONALOKONOMIE (2004)

Article Operations Research & Management Science

Single-period Markowitz portfolio selection, performance gauging, and duality: A variation on the Luenberger shortage function

W Briec et al.

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS (2004)

Article Economics

Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements

E Jondeau et al.

JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2003)