Kerstens, Kristiaan; Mounir, Amine; Van de Woestyne, Ignace - Faculteit Economie en Bedrijfswetenschappen, … - 2010
The shortage function has been proposed as a tool to gauge portfolio performance in multi-moment portfolio models. An open issue is how the choice of direction vector affects the efficiency measurement and, from a practical point of view, the resulting league tables. This paper illustrates...