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Non-parametric frontier estimates of mutual fund performance using C- and L-moments : some specification tests

Kerstens, Kristiaan; Mounir, Amine; Van de Woestyne, Ignace - In: Journal of banking & finance 35 (2011) 5, pp. 1190-1201

Persistent link: https://www.econbiz.de/10009245243

Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function

Kerstens, Kristiaan; Mounir, Amine; Van de Woestyne, Ignace - In: European journal of operational research : EJOR 210 (2011) 1, pp. 81-94

Persistent link: https://www.econbiz.de/10008826761

Geometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function

Kerstens, Kristiaan; Mounir, Amine; Mounir, Amine; … - IÉSEG School of Management, Université Catholique de Lille - 2008

The literature suggests that investors prefer portfolios based on mean, variance and skewness rather than portfolios based on mean-variance (MV) criteria solely. Furthermore, a small variety of methods have been proposed to determine mean-variance-skewness (MVS) optimal portfolios. Recently, the...

Persistent link: https://www.econbiz.de/10008518359

Multi-time and multi-moment nonparametric frontier-based fund rating : proposal and buy-and-hold backtesting strategy

Kerstens, Kristiaan; Mazza, Paolo; Ren, Tiantian; Van … - In: Omega : the international journal of management science 113 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013534470

Portfolio performance gauging in discrete time using a Luenberger productivity indicator

Brandouy, Olivier; Briec, Walter; Kerstens, Kristiaan; … - In: Journal of banking & finance 34 (2010) 8, pp. 1899-1910

Persistent link: https://www.econbiz.de/10008665696

Comparing Malmquist and Hicks-Moorsteen productivity indices : exploring the impact of unbalanced vs. balanced panel data

Kerstens, Kristiaan; Van de Woestyne, Ignace - In: European journal of operational research : EJOR 233 (2014) 3, pp. 749-758

Persistent link: https://www.econbiz.de/10010228191

Portfolio selection with skewness : a comparison of methods and a generalized one fund result

Briec, Walter; Kerstens, Kristiaan; Van de Woestyne, Ignace - In: European journal of operational research : EJOR 230 (2013) 2, pp. 412-421

Persistent link: https://www.econbiz.de/10009771824

Static efficiency decompositions and capacity utilization : integrating economic and technical capacity notions

De Borger, Bruno L.; Kerstens, Kristiaan; Prior, Diego; … - In: Applied economics 44 (2012) 31/33, pp. 4125-4141

Persistent link: https://www.econbiz.de/10009713535

Backtesting superfund portfolio strategies based on frontier-based mutual fund ratings

Brandouy, Olivier; Kerstens, Kristiaan; Van de … - In: Efficiency and productivity growth : modelling in the …, (pp. 135-170). 2013

Persistent link: https://www.econbiz.de/10009753194

Nonparametric cost and revenue functions under constant economies of scale : an enumeration approach for the single output or input case

Briec, Walter; Kerstens, Kristiaan; Van de Woestyne, Ignace - In: International transactions in operational research : … 21 (2014) 4, pp. 619-625

Persistent link: https://www.econbiz.de/10010388501