TY - JOUR T1 - Portfolio Evaluation and Benchmark Selection JF - The Journal of Alternative Investments SP - 9 LP - 19 DO - 10.3905/jai.2001.319003 VL - 4 IS - 1 AU - Kathryn Wilkens AU - Joe Zhu Y1 - 2001/06/30 UR - https://pm-research.com/content/4/1/9.abstract N2 - 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. ER -