Portfolio performance evaluation in a meanvarianceskewness framework
Astronomical amounts of money are being invested in financial markets. Consequently the evaluation of portfolio performance has created a great deal of interest among practitioners as well as academic researchers. The literature suggests that portfolio efficiency based on meanvarianceskewness is more desirable than the one based on meanvariance. However, there are no well-established procedures to measure efficiency in this framework, mainly due to the computational difficulties. The aim of this paper is to develop a portfolio performance measure based on meanvarianceskewness framework by utilizing a non-parametric efficiency analysis tool, namely Data Envelopment Analysis.
portfolio performance data envelopment analysis capm efficient frontier mutual funds skewness