Mean-variance-skewness portfolio performance gauging: a general shortage functio

马甲甲

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收藏 2016-08-19

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【全文链接或数据库名称(选填)】Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approachW Briec, K Kerstens, O Jokung - Management science, 2007 - pubsonline.informs.org
This paper proposes a nonparametric efficiency measurement approach for the static
portfolio selection problem in mean-variance-skewness space. A shortage function is
defined that looks for possible increases in return and skewness and decreases in ...
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