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PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS
International Journal of Theoretical and Applied Finance, 2019We consider the portfolio selection problem of maximizing a performance measure in a continuous-time diffusion model. The performance measure is the ratio of the overperformance to the underperformance of a portfolio relative to a benchmark. Following a strategy from fractional programming, we analyze the problem by solving a family of related ...
Lin, Hongcan +2 more
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Appraising Performance of Investment Portfolios
The Journal of Finance, 1970SEVERAL ARTICLES have been written concerning the appraisal and performance of investment portfolios. This evaluation generally has centered around the performance of mutual funds in comparison to a portfolio composed of stocks from a market index, or on other occasions, portfolios selected at random.' Many of these studies compare portfolio returns ...
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Portfolio Concentration and Firm Performance
Journal of Financial and Quantitative Analysis, 2012AbstractThis paper investigates the relation between shareholders’ portfolio concentration and firm performance. Using data on more than 1.3 million unique shareholders, we create an index that measures how concentrated shareholder portfolios are in each firm.
Maury, Benjamin, Ekholm, Anders
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Portfolio Performance Contributions
SSRN Electronic Journal, 2014Portfolio performance contributions form a summable set of measures which explains and breaks down the different sources of a portfolio global performance in presence of external cash flows. External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of
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Portfolio Performance: Factors or Benchmarks?
SSRN Electronic Journal, 2005The suitability of using factors or benchmarks to measure portfolio performance is analysed. Fama and French factors are constructed from Russell US stock indexes and then directly utilized as benchmarks. The interpretation of factors as zero-investment benchmarks makes it difficult to explain performance measurement as the comparison of active versus ...
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Robust equity portfolio performance
Annals of Operations Research, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kim, Jang Ho +3 more
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Portfolio strategies and performance
Journal of Financial Economics, 1977Abstract The relative performance of several portfolio selection strategies is assessed empirically. These strategies vary in sophistication from a ‘naive’ strategy of maintaining equal dollar investments in each stock available to a strategy that periodically uses updated parameter estimates to calculate new optimal proportions of portfolio value to
Ted Bloomfield +2 more
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Determinants of Portfolio Performance
Financial Analysts Journal, 1986In order to delineate investment responsibility and measure performance contribution, pension plan sponsors and investment managers need a clear and relevant method of attributing returns to those ...
Gary P. Brinson +2 more
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Portfolio of Performance Evaluation
2014 Seventh International Joint Conference on Computational Sciences and Optimization, 2014The rapid development of the world economy, various investment activities more frequently, how to measure whether the activities of an investment profits? So people began to explore how an investment portfolio in order to gain maximum benefit. Modern portfolio theory is about investment behavior under conditions of uncertainty theory of income, in 1959,
Xueyu Ma, Zilong Ma
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Alliance Portfolio Management Capability and Portfolio Performance
Academy of Management Proceedings, 2012Firms in dynamic industries such as biotechnology, computers and telecommunications are increasingly engaged in a dense network of strategic alliances and inter-firm relationships.
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