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Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator

https://doi.org/10.2139/ssrn.1369223
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9780470404324.hof002016openalex-extracted
Asset Allocation and Portfolio Construction
inferredcites →https://doi.org/10.1007/bf01227605openalex-extracted
Nonparametric tests of efficiency of portfolio investment
inferredcites →https://doi.org/10.1007/s001990100231openalex-extracted
Exact nonradial input, output, and productivity measurement
inferredcites →https://doi.org/10.1007/s10957-008-9503-2openalex-extracted
Infeasibility and Directional Distance Functions with Application to the Determinateness of the Luenberger Productivity Indicator
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-4068(92)90035-6openalex-extracted
Benefit functions and duality
inferredcites →https://doi.org/10.1016/0304-4076(90)90095-bopenalex-extracted
Intertemporal asset pricing
inferredcites →https://doi.org/10.1016/j.jfineco.2003.10.003openalex-extracted
Style effects in the cross-section of stock returns
inferredcites →https://doi.org/10.1016/s0304-405x(03)00064-3openalex-extracted
Style investing
inferredcites →https://doi.org/10.1016/s0305-0483(98)00043-7openalex-extracted
Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking
inferredcites →https://doi.org/10.1016/s0377-2217(96)00356-6openalex-extracted
Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
inferredcites →https://doi.org/10.1016/s1042-444x(98)00025-5openalex-extracted
Share performance and profit efficiency of banks in an oligopolistic market: evidence from Singapore
inferredcites →https://doi.org/10.1023/b:jota.0000012730.36740.bbopenalex-extracted
Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function
inferredcites →https://doi.org/10.1086/209685openalex-extracted
The Persistence of Risk-Adjusted Mutual Fund Performance
inferredcites →https://doi.org/10.1108/eb022941openalex-extracted
Investing in Skews
inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-extracted
Conditional Skewness in Asset Pricing Tests
inferredcites →https://doi.org/10.1111/1468-5957.00396openalex-extracted
Relative Performance Evaluation of Mutual Funds: A Non‐Parametric Approach
inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-extracted
PORTFOLIO SELECTION*
inferredcites →https://doi.org/10.1111/j.1540-6261.1968.tb00815.xopenalex-extracted
THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964
inferredcites →https://doi.org/10.1111/j.1540-6261.1978.tb02047.xopenalex-extracted
AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-extracted
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04703.xopenalex-extracted
Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04800.xopenalex-extracted
Performance Persistence
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05170.xopenalex-extracted
Portfolio Inefficiency and the Cross‐section of Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb02690.xopenalex-extracted
Measuring Fund Strategy and Performance in Changing Economic Conditions
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb02707.xopenalex-extracted
Another Puzzle: The Growth in Actively Managed Mutual Funds
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1287/mnsc.1060.0596openalex-extracted
Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
inferredcites →https://doi.org/10.2139/ssrn.244153openalex-extracted
The Performance of Mutual Funds in the Period 1945-1964
inferredcites →https://doi.org/10.2139/ssrn.350426openalex-extracted
Optimal Utilization of Market Forecasts and the Evaluation of Investment Performance
inferredcites →https://doi.org/10.2307/1913625openalex-extracted
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2307/2329262openalex-extracted
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.2307/2329367openalex-extracted
inferredcites →https://doi.org/10.2307/2329866openalex-extracted
Objectives and Performance of Mutual Funds, 1960-1969
inferredcites →https://doi.org/10.2307/2330509openalex-extracted
Composite Measures for the Evaluation of Investment Performance
inferredcites →https://doi.org/10.2307/2331338openalex-extracted
A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques
inferredcites →https://doi.org/10.3386/w4360openalex-extracted
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.3905/joi.2000.319419openalex-extracted
Efficiency Ratio
inferredcites →https://doi.org/10.3905/jpm.2000.319724openalex-extracted
Style Timing
inferredcites →https://doi.org/10.3905/jwm.2003.442378openalex-extracted
Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe Ratio
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb04772.xopenalex-snapshot
Contrarian Investment, Extrapolation, and Risk

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inferred← citeshttps://doi.org/10.1057/jors.2011.140openalex-snapshot
Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings!
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