Performance Metric Portfolios: A Framework and Empirical Analysis
نویسندگان
چکیده
Elliot Bendoly* • Eve D. Rosenzweig • Jeff K. Stratman Goizueta Business School, Emory University, 1300 Clifton Road, Atlanta, GA 30322-2710, USA Goizueta Business School, Emory University, 1300 Clifton Road, Atlanta, GA 30322-2710, USA David Eccles School of Business, University of Utah, 1645 E. Campus Center Drive, Salt Lake City, UT 84112-9304, USA [email protected] • [email protected] • [email protected]
منابع مشابه
Portfolio Performance Evaluation in a Modified Mean-Variance-Skewness Framework with Negative Data
The present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. Mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on Data Envelopment Analysis, which the variance of the assets had been used as an input to the DEA and expected return and skewness were the output. C...
متن کاملMulti-period and Multi-objective Stock Selection Optimization Model Based on Fuzzy Interval Approach
The optimization of investment portfolios is the most important topic in financial decision making, and many relevant models can be found in the literature. According to importance of portfolio optimization in this paper, deals with novel solution approaches to solve new developed portfolio optimization model. Contrary to previous work, the uncertainty of future retur...
متن کاملAsset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
Markowitz (1952, 1959) laid down the ground-breaking work on the mean-variance analysis. Under his framework, the theoretical optimal allocation vector can be very different from the estimated one for large portfolios due to the intrinsic difficulty of estimating a vast covariance matrix and return vector. This can result in adverse performance in portfolio selected based on empirical data due ...
متن کاملImplications of Cointegration for Forecasting: A Review and an Empirical Analysis
Cointegration has different theoretical implications for forecasting. Several empirical studies have compared the out of sample forecasting performance of cointegrted VECMs against unrestricted VARs in levels and in differences. The results of these studies have been generally mixed and inconclusive. This paper provides a comprehensive review over the subject, and also examines the effects...
متن کاملAssessment of the Log-Euclidean Metric Performance in Diffusion Tensor Image Segmentation
Introduction: Appropriate definition of the distance measure between diffusion tensors has a deep impact on Diffusion Tensor Image (DTI) segmentation results. The geodesic metric is the best distance measure since it yields high-quality segmentation results. However, the important problem with the geodesic metric is a high computational cost of the algorithms based on it. The main goal of this ...
متن کامل