Portfolio Evaluation with the Vector Distance Based on Portfolio Composition
We propose a novel portfolio evaluation method, a distance-based approach, which directly evaluates the portfolio composition rather than portfolio returns. In this approach, we consider a portfolio as an estimator for an in-sample tangency portfolio, which we define as the optimal reference portfol...
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| Principais autores: | , , , , |
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
MDPI AG
2023-01-01
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| Serier: | Mathematics |
| Fag: | |
| Online adgang: | https://www.mdpi.com/2227-7390/11/1/221 |
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