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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

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

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

Tangency capacity notions based upon the profit and cost functions : a non-parametric approach and a general comparison

Briec, Walter; Kerstens, Kristiaan; Prior, Diego; Van … - In: Economic modelling 27 (2010) 5, pp. 1156-1166

Persistent link: https://www.econbiz.de/10008824895

Testing general and special Färe-Primont indices : a proposal for public and private sector synthetic indices of European regional expenditures and tourism

Briec, Walter; Kerstens, Kristiaan; Prior, Diego; Van … - In: European journal of operational research : EJOR 271 (2018) 2, pp. 756-768

Persistent link: https://www.econbiz.de/10011890411

Hypercongestion in production correspondences : an empirical exploration

Briec, Walter; Kerstens, Kristiaan; Van de Woestyne, Ignace - In: Applied economics 50 (2018) 27, pp. 2938-2956

Persistent link: https://www.econbiz.de/10012037506

Congestion in production correspondences

Briec, Walter; Kerstens, Kristiaan; Van de Woestyne, Ignace - In: Journal of economics 119 (2016) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10011557736

Portfolio Performance Gauging in Discrete Time Using a Luenberger Productivity Indicator

Brandouy, Olivier; Briec, Walter; Kerstens, Kristiaan; … - IÉSEG School of Management, Université Catholique de Lille - 2008

This paper proposes a pragmatic, discrete time indicator to gauge the performance of portfolios over time. Integrating the shortage function (Luenberger, 1995) into a Luenberger portfolio productivity indicator (Chambers, 2002), this study estimates the changes in the relative positions of...

Persistent link: https://www.econbiz.de/10008518350

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

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