Nothing Special   »   [go: up one dir, main page]
create a website
Nonparametric Portfolio Efficiency Measurement with Higher Moments.. (2021). Kruger, Jens.
In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
RePEc:dar:wpaper:130825.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 57

References cited by this document

Cocites: 33

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Arrow KJ. Essays in the theory of risk-rearing. Chicago: Markham Publishing; 1971. Boudt K, Peterson B, Croux C. Estimation and decomposition of downside risk for portfolios with nonnormal returns. J Risk. 2008;11:79–103.
    Paper not yet in RePEc: Add citation now
  2. Boudt K, Cornilly D, Van Holle F, Willems F. Algorithmic portfolio tilting to harvest higher moment gains. Heliyon. 2020a;6:e03516.
    Paper not yet in RePEc: Add citation now
  3. Boudt K, Cornilly D, Verdonck T. A coskewness shrinkage approach for estimating the skewness of linear combinations of random variables. J Finance Econ. 2020b;18:1–23. Branda M. Diversification-consistent data envelopment analysis based on directional-distance measures.
    Paper not yet in RePEc: Add citation now

  4. Brandouy O, Briec W, Kerstens K, Van de Woestyne I. Portfolio performance gauging in discrete time using a luenberger productivity indicator. J Bank Finance. 2010;34:1899–910.

  5. Briec W, Kerstens K, Jokung O. Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach. Manag Sci. 2007;53:135–49.
    Paper not yet in RePEc: Add citation now
  6. Briec W, Kerstens K, Lesourd JB. Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function. J Opt Theory Appl. 2004;120:1–27.
    Paper not yet in RePEc: Add citation now

  7. Briec W, Kerstens K. Portfolio selection in multidimensional general and partial moment space. J Econ Dyn Control. 2010;34:636–56.

  8. Briec W. An extended Färe-Lovell technical efficiency measure. Int J Prod Econ. 2000;65:191–9.
    Paper not yet in RePEc: Add citation now
  9. Chambers RG, Chung Y, Färe R. Benefit and distance functions. J Econ Theory. 1996;70:407–19.
    Paper not yet in RePEc: Add citation now
  10. Chopra VK, Ziemba WT. The effect of errors in means, variances, and covariances on optimal portfolio choice. J Portfolio Manag. 1993;19:6–11.
    Paper not yet in RePEc: Add citation now
  11. Dittmar RF. Nonlinear pricing kernels, kurtosis preference, and evidence from the cross-section of equity returns. J Finance. 2002;57:369–403.
    Paper not yet in RePEc: Add citation now
  12. Edirisinghe N, Zhang X. Generalized DEA model of fundamental analysis and its application to portfolio optimization. J Bank Finance. 2007;31:3311–35.
    Paper not yet in RePEc: Add citation now

  13. Elliott G, Rothenberg TJ, Stock JH. Efficient tests for an autoregressive unit root. Econometrica. 1996;64:813–36.

  14. Engle RF. Anticipating correlations: a new paradigm for risk management. Princeton: Princeton University Press; 2009. 1458 J. J. Krüger Fama EF, French KR. Common risk factors in the returns on stocks and bonds. J Finance Econ. 1993;33:3– 56.
    Paper not yet in RePEc: Add citation now

  15. Färe R, Grosskopf S, Whittaker G. Directional output distance functions: endogenous constraints based on exogenous normalization constraints. J Prod Anal. 2013;40:267–9.

  16. Fama EF, French KR. A five-factor asset pricing model. J Finance Econ. 2015;116:1–22.
    Paper not yet in RePEc: Add citation now

  17. Fama EF, French KR. Multifactor explanations of asset pricing anomalies. J Finance. 1996;51:55–84.

  18. Fama EF, French KR. Size and book-to-market factors in earnings and returns. J Finance. 1995;50:131–56.
    Paper not yet in RePEc: Add citation now
  19. Glawischnig M, Sommersguter-Reichmann M. Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: is it convincing? J Bank Finance. 2010;34:295– 303. Goldfarb D, Idnani A. A numerically stable dual method for solving strictly convex quadratic programs.
    Paper not yet in RePEc: Add citation now

  20. Gollier C, Pratt JW. Risk vulnerability and the tempering effect of background risk. Econometrica. 1996;64:1109–23.

  21. Gourieroux C, Monfort A. The econometrics of efficient portfolios. J Empl Finance. 2005;12:1–41.

  22. Hampf B, Krüger JJ. Optimal directions for directional distance functions: an exploration of potential reductions of greenhouse gases. Am J Agric Econ. 2015;97:920–38.

  23. Harvey C, Liechty J, Liechty M, Müller P. Portfolio selection with higher moments. Quant Finance. 2010;10:469–85.

  24. Harvey CR, Siddique A. Conditional skewness in asset pricing tests. J Finance. 2000;55:1263–95.

  25. Harville DA. Matrix algebra from a statistician’s perspective. New York: Springer; 2008.
    Paper not yet in RePEc: Add citation now
  26. Hens T, Rieger MO. Financial economics: a concise introduction to classical and behavioral finance. New York: Springer; 2010.
    Paper not yet in RePEc: Add citation now
  27. Hlawitschka W. The empirical nature of Taylor-series approximations to expected utility. Am Econ Rev. 1994;84:713–9.
    Paper not yet in RePEc: Add citation now

  28. Jagannathan R, Ma T. Risk reduction in large portfolios: why imposing the wrong constraints helps. J Finance. 2003;58:1651–84.

  29. Jarque CM, Bera AK. Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Econ Lett. 1980;6:255–9.

  30. Jondeau E, Rockinger M. Optimal portfolio allocation under higher moments. Eur Finance Manag. 2006;12:29–55.

  31. Joro T, Na P. Portfolio performance evaluation in a mean-variance-skewness framework. Eur J Oper Res. 2006;175:446–61.

  32. Kerstens K, Mounir A, Van de Woestyne I. Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector. J Oper Res Soc. 2012;63:1199–212.
    Paper not yet in RePEc: Add citation now

  33. Kerstens K, Mounir A, Van de Woestyne I. Geometric representation of mean-variance-skewness portfolio frontier based upon the shortage function. Eur J Oper Res. 2011a;210:81–94.

  34. Kerstens K, Mounir A, Van de Woestyne I. Non-parametric frontier estimates of mutual fund performance using C- and L-moments: some specification tests. J Bank Finance. 2011b;33:1190–201.
    Paper not yet in RePEc: Add citation now

  35. Kimball MS. Precautionary savings in the small and in the large. Econometrica. 1990;58:53–73.

  36. Kraft D. Algorithm 733: TOMP—Fortran modules for optimal control calculations. ACM Trans Math Softw. 1994;20:262–81.
    Paper not yet in RePEc: Add citation now
  37. Kraus A, Litzenberger RH. Skewness preference and the valuation of risk assets. J Finance. 1976;31:1085– 100.
    Paper not yet in RePEc: Add citation now
  38. Lai TY. Portfolio selection with skewness: a multiple objective approach. Rev Quant Finance Account. 1991;1:293–305.
    Paper not yet in RePEc: Add citation now
  39. Lamb JD, Tee KH. Data envelopment analysis models of investment funds. Eur J Oper Res. 2012;216:687– 96.
    Paper not yet in RePEc: Add citation now
  40. Ledoit O, Wolf M. A well-conditioned estimator for large-dimensional covariance matrices. J Multivar Anal. 2004;88:365–411.
    Paper not yet in RePEc: Add citation now

  41. Ledoit O, Wolf M. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J Empl Finance. 2003;10:603–21.

  42. Luenberger DG. Microeconomic theory. New York: McGraw-Hill; 1995. Magnus JR, Neudecker H. Matrix differential calculus with applications in statistics and econometrics.
    Paper not yet in RePEc: Add citation now
  43. Luenberger DG. New optimality principles for economic efficiency and equilibrium. JOTA. 1992;75:221– 64.
    Paper not yet in RePEc: Add citation now
  44. Markowitz H. Portfolio selection: efficient diversification of investments. New York: Wiley; 1959.
    Paper not yet in RePEc: Add citation now

  45. Martellini L, Ziemann V. Improved estimates of higher-order comoments and implications for portfolio selection. Rev Finance Stud. 2010;23:1467–502.

  46. Morey MR, Morey RC. Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega. 1999;27:241–58.

  47. Murthi BPS, Choi YK, Desai P. Efficiency of mutual funds and portfolio performance measurement: a non-parametric approach. Eur J Oper Res. 1997;98:408–18.

  48. Nonparametric portfolio efficiency measurement with higher… 1459 Markowitz H. Portfolio election. J Finance. 1952;7:77–91.
    Paper not yet in RePEc: Add citation now
  49. Peterson BG, Carl P. PerformanceAnalytics: econometric tools for performance and risk analysis, R package version 2.0.4, 2020. https://CRAN.R-project.org/package=PerformanceAnalytics. Accessed 27 Apr 2020.
    Paper not yet in RePEc: Add citation now
  50. Rapach D, Zhou G. Forecasting stock returns. In Elliott G, Timmermann A (eds.) Handbook of economic forecasting, 2013;2A;329–383.
    Paper not yet in RePEc: Add citation now

  51. Samuelson PA. The fundamental approximation theorem of portfolio analysis in terms of means, variances and higher moments. Rev Econ Stud. 1970;37:537–42.

  52. Scott RC, Horvath PA. On the direction of preference for moments of higher order than the variance. J Finance. 1980;35:915–9.

  53. Sentana E. The econometrics of mean-variance efficiency tests: a survey. Econom J. 2009;12:C65–101.
    Paper not yet in RePEc: Add citation now
  54. Shiller RJ. Irrational exuberance. 3rd ed. Princeton: Princeton University Press; 2015.
    Paper not yet in RePEc: Add citation now
  55. Simar L, Vanhems A, Wilson PW. Statistical inference for DEA estimators of directional distances. Eur J Oper Res. 2012;220:853–64.
    Paper not yet in RePEc: Add citation now
  56. Simar L, Vanhems A. Probabilistic characterization of directional distances and their robust versions. J Econom. 2012;166:342–54.
    Paper not yet in RePEc: Add citation now
  57. Würtz D, Chalabi Y, Chen W, Ellis A. Portfolio optimization with R/Rmetrics, Rmetrics eBook, Rmetrics Association and Finance Online, Zürich, 2009. Publisher’s Note Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. (2022). van De, Ignace ; Ren, Tiantian ; Mazza, Paolo ; Kerstens, Kristiaan.
    In: Omega.
    RePEc:eee:jomega:v:113:y:2022:i:c:s0305048322001256.

    Full description at Econpapers || Download paper

  2. Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale. (2022). Liu, Wenbin ; Ren, Teng ; Zhou, Zhongbao ; Xiao, Helu.
    In: Omega.
    RePEc:eee:jomega:v:111:y:2022:i:c:s0305048322000792.

    Full description at Econpapers || Download paper

  3. Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets. (2022). Uribe, Jorge ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000162.

    Full description at Econpapers || Download paper

  4. Improving energy use and mitigating pollutant emissions across “Three Regions and Ten Urban Agglomerations”: A city-level productivity growth decomposition. (2021). Baležentis, Tomas ; Baleentis, Tomas ; Chen, Xiaodong ; Miao, Zhuang.
    In: Applied Energy.
    RePEc:eee:appene:v:283:y:2021:i:c:s0306261920316822.

    Full description at Econpapers || Download paper

  5. Nonparametric Portfolio Efficiency Measurement with Higher Moments.. (2021). Kruger, Jens.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:130825.

    Full description at Econpapers || Download paper

  6. Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets. (2020). Uribe, Jorge ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose.
    In: Working papers.
    RePEc:rie:riecdt:46.

    Full description at Econpapers || Download paper

  7. Dynamic network DEA and SFA models for accounting and financial indicators with an analysis of super-efficiency in stochastic frontiers: An efficiency comparison in OECD banking. (2020). Moreira, Jorge Junio ; Chen, Zhongfei ; Tsionas, Mike G ; Wanke, Peter.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:69:y:2020:i:c:p:456-468.

    Full description at Econpapers || Download paper

  8. Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun.
    In: Papers.
    RePEc:arx:papers:2002.09578.

    Full description at Econpapers || Download paper

  9. Efficiency of mutual fund managers: A slacks-based manager efficiency index. (2019). Andreu, Laura ; Vicente, Luis ; Serrano, Miguel .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:273:y:2019:i:3:p:1180-1193.

    Full description at Econpapers || Download paper

  10. Portfolio analysis with DEA: Prior to choosing a model. (2018). LELEU, Hervé ; Tarnaud, Albane Christine.
    In: Omega.
    RePEc:eee:jomega:v:75:y:2018:i:c:p:57-76.

    Full description at Econpapers || Download paper

  11. Merger and acquisitions in South African banking: A network DEA model. (2017). GUPTA, RANGAN ; Maredza, Andrew ; Wanke, Peter.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:41:y:2017:i:c:p:362-376.

    Full description at Econpapers || Download paper

  12. Multi-objective mean–variance–skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties. (2017). Chen, J J ; Wu, P Z ; Zhang, L L.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:263:y:2017:i:2:p:719-732.

    Full description at Econpapers || Download paper

  13. Merger and Acquisitions in South African Banking: A Network DEA Model. (2016). GUPTA, RANGAN ; Wanke, Peter ; Maredza, Andrew.
    In: Working Papers.
    RePEc:pre:wpaper:201665.

    Full description at Econpapers || Download paper

  14. Predicting Efficiency in Angolan Banks: A Two-Stage TOPSIS and Neural Networks Approach. (2016). Barros, Carlos ; Wanke, Peter ; Joo, Nkanga Pedro .
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:84:y:2016:i:3:p:461-483.

    Full description at Econpapers || Download paper

  15. European banks’ technical efficiency and performance: do business models matter? The case of European co-operatives banks. (2016). Avisoa, E.
    In: Débats économiques et financiers.
    RePEc:bfr:decfin:25.

    Full description at Econpapers || Download paper

  16. Multi-Objective Stochastic Optimization Programs for a Non-Life Insurance Company under Solvency Constraints. (2015). Daris, Roberto ; Kaucic, Massimiliano.
    In: Risks.
    RePEc:gam:jrisks:v:3:y:2015:i:3:p:390-419:d:55820.

    Full description at Econpapers || Download paper

  17. The performance of US equity mutual funds. (2015). mamatzakis, emmanuel ; BABALOS, VASSILIOS ; Matousek, Roman.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:52:y:2015:i:c:p:217-229.

    Full description at Econpapers || Download paper

  18. Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis. (2015). Kerstens, Kristiaan ; Brandouy, Olivier ; Van de Woestyne, Ignace .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:242:y:2015:i:1:p:332-342.

    Full description at Econpapers || Download paper

  19. Financial distress drivers in Brazilian banks: A dynamic slacks approach. (2015). Faria, Joao ; Barros, Carlos P. ; Wanke, Peter.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:240:y:2015:i:1:p:258-268.

    Full description at Econpapers || Download paper

  20. Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?. (2014). Hu, Jin-Li ; Chou, Ray ; Chang, Tzu-Pu.
    In: Journal of Productivity Analysis.
    RePEc:kap:jproda:v:41:y:2014:i:1:p:141-151.

    Full description at Econpapers || Download paper

  21. Export diversification through resource-based industrialization: The case of natural gas. (2014). MASSOL, Olivier ; Banal-Estanol, Albert ; Banal-Estaol, Albert.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:237:y:2014:i:3:p:1067-1082.

    Full description at Econpapers || Download paper

  22. Location-scale portfolio selection with factor-recentered skew normal asset returns. (2014). Gan, Quan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:48:y:2014:i:c:p:176-187.

    Full description at Econpapers || Download paper

  23. A dynamic autoregressive expectile for time-invariant portfolio protection strategies. (2014). Prigent, Jean-Luc ; Maillet, Bertrand ; Hamidi, Benjamin .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:46:y:2014:i:c:p:1-29.

    Full description at Econpapers || Download paper

  24. A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES. (2014). Maillet, Bertrand ; Jannin, Gregory ; Caporin, Massimiliano ; Lisi, Francesco.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:28:y:2014:i:5:p:917-942.

    Full description at Econpapers || Download paper

  25. Multicriteria decision systems for financial problems. (2013). Zopounidis, Constantin ; Doumpos, Michael.
    In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:topjnl:v:21:y:2013:i:2:p:241-261.

    Full description at Econpapers || Download paper

  26. Portfolio selection with skewness: A comparison of methods and a generalized one fund result. (2013). Kerstens, Kristiaan ; Van de Woestyne, Ignace ; Briec, Walter.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:230:y:2013:i:2:p:412-421.

    Full description at Econpapers || Download paper

  27. INTEGRATED METAHEURISTIC OPTIMIZATION OF 130–30 INVESTMENT‐STRATEGY‐BASED LONG–SHORT PORTFOLIOS. (2012). G. A. Vijayalakshmi Pai, ; Michel, Thierry.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:19:y:2012:i:1:p:43-74.

    Full description at Econpapers || Download paper

  28. Technical Efficiency in the Angolan Banking Sector with the B-convexity model. (2012). Barros, Carlos ; Liang, Qi B. ; Peypoch, Nicolas.
    In: CEsA Working Papers.
    RePEc:cav:cavwpp:wp101.

    Full description at Econpapers || Download paper

  29. Negative data in DEA: a simple proportional distance function approach. (2011). van De, I ; Kerstens, K.
    In: Journal of the Operational Research Society.
    RePEc:pal:jorsoc:v:62:y:2011:i:7:d:10.1057_jors.2010.108.

    Full description at Econpapers || Download paper

  30. Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result. (2011). Kerstens, Kristiaan ; Van de Woestyne, Ignace ; Briec, Walter.
    In: Working Papers.
    RePEc:hub:wpecon:201109.

    Full description at Econpapers || Download paper

  31. Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests. (2011). Kerstens, Kristiaan ; Mounir, Amine ; Van de Woestyne, Ignace .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1190-1201.

    Full description at Econpapers || Download paper

  32. Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function. (2011). Kerstens, Kristiaan ; Mounir, Amine ; Van de Woestyne, Ignace .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:210:y:2011:i:1:p:81-94.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-02 04:28:16 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.