Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
482361 | European Journal of Operational Research | 2006 | 16 Pages |
Abstract
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’.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Tarja Joro, Paul Na,