RT Journal Article
SR Electronic
T1 Portfolio Evaluation and Benchmark Selection
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 9
OP 19
DO 10.3905/jai.2001.319003
VO 4
IS 1
A1 Kathryn Wilkens
A1 Joe Zhu
YR 2001
UL https://pm-research.com/content/4/1/9.abstract
AB 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.