Performance evaluation of portfolios with margin requirements
type: Item
instance of: scholarly article
title: Performance evaluation of portfolios with margin requirements
zbMATH Open document ID: 1407.90203
DOI: 10.1155/2014/618706
author: Hui Ding
author: Zhongbao Zhou
author: Helu Xiao
author: Chaoqun Ma
author: Wenbin Liu
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: In financial markets, short sellers will be required to post margin to cover possible losses in case the prices of the risky assets go up. Only a few studies focus on the optimization and performance evaluation of portfolios in the presence of margin requirements. In this paper, we investigate the theoretical foundation of DEA (data envelopment analysis) approach to evaluate the performance of portfolios with margin requirements from a different perspective. Under the mean-variance framework, we construct the optimization model and portfolio possibility set on considering margin requirements. The convexity of the portfolio possibility set is proved and the concept of efficiency in classical economics is extended to the portfolio case. The DEA models are then developed to evaluate the performance of portfolios with margin requirements. Through the simulations carried out in the end, we show that, with adequate portfolios, DEA can be used as an effective tool in computing the efficiencies of portfolios with margin requirements for the performance evaluation purpose. This study can be viewed as a justification of DEA into performance evaluation of portfolios with margin requirements.
Mathematics Subject Classification ID: 90B50
Mathematics Subject Classification ID: 90C08
zbMATH DE Number: 7016873
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/618706
OpenAlex ID: W2062690962
Wikidata QID: Q59066609
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description: scientific article; zbMATH DE number 7016873