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ArticlePortfolio analysis with DEA: Prior to choosing a model

Albane Christine Tarnaud2017

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Articlegreen2017

Portfolio analysis with DEA: Prior to choosing a model

Albane Christine Tarnaud · Hervé Leleu

33 citations·0/0 files stored·Omega

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Efficiency Analysis Using DEA Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1978Measuring the efficiency of decision making units 1984Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis 1952PORTFOLIO SELECTION*1985Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions 2010Maxing out: Stocks as lotteries and the cross-section of expected returns 2015A Survey of Behavioral Finance 2002A Survey of Behavioral Finance 1998Profit, Directional Distance Functions, and Nerlovian Efficiency

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2017Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method 2024Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA

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2016DEA Performance Assessment of Mutual Fundschapter · 26 shared references 2019Directional distance based diversification super-efficiency DEA models for mutual fundsarticle · 15 shared references 2010Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification testsarticle · 14 shared references 2007TSD-consistent performance assessment of mutual fundsarticle · 14 shared references 2009Assessing the performance of alternative investments using non-parametric efficiency measurement approaches: Is it convincing?article · 13 shared references 2017Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA methodarticle · 13 shared references

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Year2017

Typearticle

Published2017-03-16

VenueOmega

ISSN-L0305-0483

Languageen

Citations33

Files0 public / 0

ShelfEfficiency Analysis Using DEA

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doi10.1016/j.omega.2017.02.003

openalex_workW2473825645

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