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Portfolio selection under DEA-based relative financial strength indicators: case of US industries
16 references·8 citing·25 second hop
Portfolio selection under DEA-based relative financial strength indicators: case of US industries (2007)Portfolio selection under DEA-based relat…Handbook on Data Envelopment Analysis (2011)Handbook on Data Envelopment …The use of data mining and neural networks for forecasting stock market returns (2005)The use of data mining and ne…Negative data in DEA: a directional distance approach applied to bank branches (2004)Negative data in DEA: a direc…Handbook on Data Envelopment Analysis (2004)Handbook on Data Envelopment …The Predictive Value of Expenses Excluded from Pro Forma Earnings (2003)The Predictive Value of Expen…Pitfalls and protocols in DEA (2001)Pitfalls and protocols in DEAValue Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (2000)Value Investing: The Use of H…A Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)A Procedure for Ranking Effic…Financial statement analysis and the prediction of stock returns (1989)Financial statement analysis …Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis (1984)Some Models for Estimating Te…Estimating most productive scale size using data envelopment analysis (1984)Estimating most productive sc…Measuring the efficiency of decision making units (1978)Measuring the efficiency of d…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments. (1960)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Stock portfolio selection using a new decision-making approach based on the integration of fuzzy CoCoSo with Heronian mean operator (2022)Stock portfolio selection usi…Input/Output Variables Selection in Data Envelopment Analysis: A Shannon Entropy Approach (2022)Input/Output Variables Select…A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem (2022)A multi-objective approach ba…Improving DEA cross-efficiency optimization in portfolio selection (2020)Improving DEA cross-efficienc…Computational approaches and data analytics in financial services: A literature review (2019)Computational approaches and …Prediction of stock prices based on LM-BP neural network and the estimation of overfitting point by RDCI (2017)Prediction of stock prices ba…Enhancement of equity portfolio performance using data envelopment analysis (2012)Enhancement of equity portfol…Input/output selection in DEA under expert information, with application to financial markets (2010)Input/output selection in DEA…Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Data envelopment analysis: Prior to choosing a model (2013)Does corporate social responsibility impact firms' innovation capacity? The indirect link between environmental & social governance implementation and innovation performance (2019)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Market Reactions to Tangible and Intangible Information (2006)Profitability, investment and average returns (2006)Replicating Anomalies (2018)The Measurement of Productive Efficiency (1957)Maximum Likelihood, Consistency and Data Envelopment Analysis: A Statistical Foundation (1993)Data envelopment analysis: The evolution of the state of the art (1978?1995) (1996)Profitability and Marketability of the Top 55 U.S. Commercial Banks (1999)A survey of data envelopment analysis in energy and environmental studies (2007)Data envelopment analysis (DEA) – Thirty years on (2008)Data Envelopment Analysis (2016)Risk, Return, and Equilibrium: Empirical Tests (1973)Multifactor Explanations of Asset Pricing Anomalies (1996)A slacks-based measure of efficiency in data envelopment analysis (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)A slacks-based measure of super-efficiency in data envelopment analysis (2002)Estimation and inference in two-stage, semi-parametric models of production processes (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1978Measuring the efficiency of decision making units29,755 cited
  • 1984Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis16,773 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1993A Procedure for Ranking Efficient Units in Data Envelopment Analysis3,691 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2011Handbook on Data Envelopment Analysis1,975 cited
  • 2001Pitfalls and protocols in DEA1,623 cited
  • 2000Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers1,204 cited
  • 1984Estimating most productive scale size using data envelopment analysis1,025 cited
  • 1989Financial statement analysis and the prediction of stock returns996 cited
  • 2004Handbook on Data Envelopment Analysis922 cited
  • 1960Portfolio Selection: Efficient Diversification of Investments.582 cited
  • 2003The Predictive Value of Expenses Excluded from Pro Forma Earnings533 cited
  • 2005The use of data mining and neural networks for forecasting stock market returns

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465 cited
  • 2004Negative data in DEA: a directional distance approach applied to bank branches440 cited
  • Cited by

    • 2022Stock portfolio selection using a new decision-making approach based on the integration of fuzzy CoCoSo with Heronian mean operator77 cited
    • 2019Computational approaches and data analytics in financial services: A literature review67 cited
    • 2017Prediction of stock prices based on LM-BP neural network and the estimation of overfitting point by RDCI65 cited
    • 2022A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem61 cited
    • 2020Improving DEA cross-efficiency optimization in portfolio selection52 cited
    • 2012Enhancement of equity portfolio performance using data envelopment analysis45 cited
    • 2010Input/output selection in DEA under expert information, with application to financial markets43 cited
    • 2022Input/Output Variables Selection in Data Envelopment Analysis: A Shannon Entropy Approach38 cited