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 portfolios with respect to the traditional Markowitz mean-variance efficient frontier, as well as the eventual shifts of this frontier over time. Based on the analysis of local changes relative to these mean-variance and higher moment (in casu, mean-variance-skewness) frontiers, this methodology allows to neatly separate between on the one hand performance changes due to portfolio strategies and on the other hand performance changes due to the market evolution. This methodology is empirically illustrated using a mimicking portfolio approach Fama and French (1996, 1997) using US monthly data from January 1931 to August 2007.

Speaker

Kristiaan Kerstens

IESEG School of Management, Lille, Frankreich

Date

09.10.2008 | 16:00 - 17:30 Uhr

Event Location

ZEW, L 7,1 D-68161 Mannheim

Room

Hamburg

Contact

Research Associate