Multi-horizon Markowitz portfolio performance appraisals: A general approach

Omega

Volumn 37, Issue 1, 2009, Pages 50-62

  Briec, Walter ^a   Kerstens, Kristiaan ^b  

^a UNIVERSITÉ DE PERPIGNAN   (France)

^b IESEG SCHOOL OF MANAGEMENT   (France)

Author keywords

Mathematical programming; Portfolio selection

Indexed keywords

EFFICIENCY; MATHEMATICAL PROGRAMMING; RISK ASSESSMENT;

EFFICIENCY MEASURE; GENERAL EFFICIENCIES; MARKOWITZ'S PORTFOLIOS; MEAN-VARIANCE PORTFOLIOS; MUTUAL FUNDS; PERFORMANCE APPRAISAL; PORTFOLIO ANALYSIS; PORTFOLIO SELECTION; RISK DIMENSIONS; TIME-PERIODS;

BENCHMARKING;

EID: 44949162800     PISSN: 03050483     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.omega.2006.07.007     Document Type: Article

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