%0 Journal Article %A Kathryn Wilkens %A Joe Zhu %T Portfolio Evaluation and Benchmark Selection %B A Mathematical Programming Approach %D 2001 %R 10.3905/jai.2001.319003 %J The Journal of Alternative Investments %P 9-19 %V 4 %N 1 %X This paper illustrates a new approach to evaluating portfolios in the context of multiple performance measures. The approach is based upon linear programming techniques and identifies the n-dimensional efficient portfolio frontier. An illustrative example with commodity trading advisor (CTA) returns shows that benchmarks can be identified for each individual portfolio. %U https://jai.pm-research.com/content/iijaltinv/4/1/9.full.pdf