Abstract Efficiency measurement of economic phenomena is of great importance to economists. Known terms and concepts from microeconomic theory and Data Envelopment Analysis regarding efficiency have been developed and adapted to cater to different questions and areas of economics. This paper focuses on applications in the area of finance, more specifically, portfolio optimization and Markowitz model. The paper has two goals. First is to give a concise overview of the theoretical and empirical research regarding Luenberger shortage (distance) function in portfolio optimization. The second goal is to empirically evaluate the efficiency of a portfolio on the Sarajevo Stock Exchange (SSE). The contribution of the paper is the first comprehensive evaluation of sources of inefficiencies of a portfolio which is not positioned on the efficient frontier on the SSE, as well as the Balkan region. The results of the analysis show that efficiency can be obtained with rebalancing the initial portfolio with the inclusion of transaction costs as well.

中文翻译：

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投资组合的绩效衡量：萨拉热窝证券交易所的伦伯格距离函数法

摘要经济现象的效率测度对经济学家具有重要意义。微观经济学理论和关于效率的数据包络分析中的已知术语和概念已经开发出来，并适应了不同的问题和经济学领域。本文重点介绍金融领域的应用，尤其是投资组合优化和Markowitz模型。本文有两个目标。首先是简要概述有关投资组合优化中的伦伯格短缺（距离）函数的理论和实证研究。第二个目标是根据经验评估萨拉热窝证券交易所（SSE）上投资组合的效率。本文的贡献是对资产组合效率低下的来源进行的首次综合评估，而该组合的效率并不位于上证所以及巴尔干地区的有效前沿。分析结果表明，通过平衡初始投资组合（包括交易成本）也可以提高效率。