PT  - JOURNAL ARTICLE
AU  - Kathryn Wilkens
AU  - Joe Zhu
TI  - Portfolio Evaluation and Benchmark Selection
AID  - 10.3905/jai.2001.319003
DP  - 2001 Jun 30
TA  - The Journal of Alternative Investments
PG  - 9--19
VI  - 4
IP  - 1
4099  - https://pm-research.com/content/4/1/9.short
4100  - https://pm-research.com/content/4/1/9.full
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.