کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
482361 | 1446212 | 2006 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Portfolio performance evaluation in a mean–variance–skewness framework
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Astronomical amounts of money are being invested in financial markets. Consequently the evaluation of portfolio performance has created a great deal of interest among practitioners as well as academic researchers. The literature suggests that portfolio efficiency based on mean–variance–skewness is more desirable than the one based on mean–variance. However, there are no well-established procedures to measure efficiency in this framework, mainly due to the computational difficulties. The aim of this paper is to develop a portfolio performance measure based on mean–variance–skewness framework by utilizing a non-parametric efficiency analysis tool, namely ‘Data Envelopment Analysis’.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 175, Issue 1, 16 November 2006, Pages 446–461
Journal: European Journal of Operational Research - Volume 175, Issue 1, 16 November 2006, Pages 446–461
نویسندگان
Tarja Joro, Paul Na,