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Portfolio performance evaluation in a mean–variance–skewness framework. (English) Zbl 1137.91453

Summary: 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’.

MSC:

91G10 Portfolio theory
91B84 Economic time series analysis

Software:

DEA
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Full Text: DOI

References:

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