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THE EFFICIENT FRONTIER OF LONG-SHORT PORTFOLIOS
International Journal of Theoretical and Applied Finance, 2002Long-short strategies are now frequently implemented especially by hedge fund managers, or simply by active equity managers. Nevertheless, in the literature, the superiority of long-short strategies on long-only strategies still remains a debated point. A comparison of these strategies requires an efficient-frontier analysis.
Charpin, Françoise, Lacaze, Dominique
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The Journal of Index Investing, 2011
By combining more asset classes, the slope of the classic efficient frontier steepens considerably—which is good news for investors desiring better risk-adjusted performance. Rather than evaluating a portfolio that simply contains various combinations of cash and large U.S. stocks, a multiple asset portfolio is evaluated in lieu of large U.S.
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By combining more asset classes, the slope of the classic efficient frontier steepens considerably—which is good news for investors desiring better risk-adjusted performance. Rather than evaluating a portfolio that simply contains various combinations of cash and large U.S. stocks, a multiple asset portfolio is evaluated in lieu of large U.S.
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Frontier analysis of the Philippine manufacturing efficiency
International Journal of Information and Decision Sciences, 2014This research investigates the efficiency of 100 firms from ten selected manufacturing industries in the Philippines over the period 1995–2004, using the two frontier models. The aim of this research is to evaluate and measure the technical efficiency of selected firms by applying the data envelopment analysis (DEA) and stochastic frontier analysis ...
Eduardo S. Gayosa, Emilyn C. Cabanda
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Efficiency frontiers of XML cardinality constraints
Data & Knowledge Engineering, 2013XML has gained widespread acceptance as a premier format for publishing, sharing and manipulating data through the web. While the semi-structured nature of XML provides a high degree of syntactic flexibility there are significant shortcomings when it comes to specifying the semantics of XML data.
Flavio Ferrarotti +2 more
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Improving the Efficient Frontier
The Journal of Portfolio Management, 2003Familiar portfolio concepts can explain why pooling of investor capital enables investors to achieve higher expected returns without additional risk exposure. The risk of the pooled investment must be a particular weighted average of the participating investors9 preferred risks. Unveiling of the source of expected return improvements provides a clearer
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Uncertainty of Efficient Frontier in Portfolio Optimization
2020Portfolio optimization is a large area of investigation both in theoretical and practical setting since the seminal work by Markowitz where a mean-variance model was introduced. From optimization point of view, the problem of optimal portfolio in mean-variance setting can be formulated as convex quadratic optimization under uncertainty. In practice one
Valeriy A. Kalyagin +1 more
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Frontiers of Efficiency Research
1995Efficiency Analysis in general systems theory is an active field of modern research. It covers not only the input-output systems, but other systems in control theory and engineering. Data envelopment analysis (DEA) deals only with a small component of input-output systems.
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Measuring efficiency with quasiconcave production frontiers
European Journal of Operational Research, 1999zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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