ارزيابي عملكرد سبد اوراق بهادار - مدل علمي ميانگين - واريانس - چولگي در مقايسه با مدل علمي ميانگين - واريانس

Portfolio Performance Evaluation - Mean-Variance-Skewness Model versus Mean - Variance Model

The last step in investment management process is evaluating portfolio performance. One of the main difficulties in performance evaluation is that people concentrate on return and do not pay attention to the risk or other moments. So it is better to evaluate portfolio performance with mean, variance and other moments like skewness simultaneously. The purpose of this research is to present a new portfolio performance evaluation of investing companies in Tehran Stock & Exchange with Mean-Variance-Skewness Model. Data Envelopment Analysis is one of the Mathematics performance Evaluation method that we use in this research. Results Show that Mean-Variance-Skewness Model in portfolio performance evaluation of investing companies is better than Mean-Variance Model.