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"Benchmarking mean-variance portfolios using a shortage function: the ..."

Kristiaan Kerstens, Amine Mounir, Ignace Van de Woestyne (2012)

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DOI: 10.1057/JORS.2011.140

access: closed

type: Journal Article

metadata version: 2020-06-08

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Kristiaan Kerstens, Amine Mounir, Ignace Van de Woestyne:
Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings! J. Oper. Res. Soc. 63(9): 1199-1212 (2012)

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