文章基本信息

标题：On Some Class of Distance Functions for Measuring Portfolio Efficiency
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作者：Carlos Barros ; Walter Briec ; Hermann Ratsimbanierana 等
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2011
卷号：1
期号：2
页码：15-27
DOI：10.4236/jmf.2011.12003
出版社：Scientific Research Publishing
摘要：Morey and Morey [1] have developed an approach for gauging portfolio efficiencies in the context of the Markowitz model. Following some recent contributions [2,3], this paper analyzes the axiomatic properties of distance functions extending an earlier approach proposed by Morey and Morey. The paper also focusses on the hyperbolic measure and the McFadden gauge function [4]. Among other things, overall, allocative and portfolio improvements possibilities (in term of return expansion or/and risk contraction) based upon the indirect mean-variance utility function are analyzed. Along this line, duality results are established in each case. This enables us to calculate the degree of risk aversion maximizing the investor indirect mean-variance utility function in either return expansion or risk contraction. An empirical illustration is provided and reveal ranking of preferred risks aversion for some “CAC40” assets.
关键词：Distance Functions; Portfolio Selection; Efficient Frontier; Dualities; Risk Aversion