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Portfolio analysis with DEA: Prior to choosing a model
16 references·2 citing·33 second hop
Portfolio analysis with DEA: Prior to choosing a model (2017)Portfolio analysis with DEA: Prior to cho…A Survey of Behavioral Finance (2015)A Survey of Behavioral FinanceData envelopment analysis: Prior to choosing a model (2013)Data envelopment analysis: Pr…Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Maxing out: Stocks as lotteri…The Measurement of Productive Efficiency and Productivity Change (2008)The Measurement of Productive…Weak Disposability in Nonparametric Production Analysis with Undesirable Outputs (2005)Weak Disposability in Nonpara…Modeling undesirable factors in efficiency evaluation: Comment (2003)Modeling undesirable factors …A Survey of Behavioral Finance (2002)A Survey of Behavioral FinanceNon‐parametric Productivity Analysis with Undesirable Outputs: An Application to the Canadian Pulp and Paper Industry (2001)Non‐parametric Productivity A…Statistical Inference in Nonparametric Frontier Models: The State of the Art (2000)Statistical Inference in Nonp…Profit, Directional Distance Functions, and Nerlovian Efficiency (1998)Profit, Directional Distance …Translation invariance in data envelopment analysis (1990)Translation invariance in dat…Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions (1985)Foundations of data envelopme…Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis (1984)Some Models for Estimating Te…Measuring the efficiency of decision making units (1978)Measuring the efficiency of d…A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL (1973)A NEW LOOK AT THE CAPITAL ASS…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA (2024)Robust, extended goal program…Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method (2017)Performance evaluation of Por…The Measurement of Productive Efficiency (1957)Benefit and Distance Functions (1996)Network DEA (2000)Characteristics of a polluting technology: theory and practice (2004)Theory of Cost and Production Functions (2015)On the Methodological Framework of Composite Indices: A Review of the Issues of Weighting, Aggregation, and Robustness (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Does Academic Research Destroy Stock Return Predictability? (2015)Replicating Anomalies (2018)Modeling the relative efficiency of national innovation systems (2011)The Economics of Human Development and Social Mobility (2014)Efficiency in education: a review of literature and a way forward (2015)A Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)A slacks-based measure of efficiency in data envelopment analysis (2001)An application procedure for DEA (1989)Data envelopment analysis (DEA) – Thirty years on (2008)Data Envelopment Analysis (2016)A slacks-based measure of super-efficiency in data envelopment analysis (2002)Accounting for Environmental Effects and Statistical Noise in Data Envelopment Analysis (2002)Nonparametric frontier estimation: a robust approach (2002)Handbook of Quantitative Science and Technology Research (2005)Disagreement and the Stock Market (2007)Ambiguity, Information Quality, and Asset Pricing (2008)Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly (2010)Perspectives on Behavioral Finance: Does "Irrationality" Disappear with Wealth? Evidence from Expectations and Actions (2003)Is value riskier than growth? (2005)The Behavior of Individual Investors (2013)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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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
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1985Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions1,718 cited
  • 2010Maxing out: Stocks as lotteries and the cross-section of expected returns1,631 cited
  • 2015A Survey of Behavioral Finance1,220 cited
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  • 1998Profit, Directional Distance Functions, and Nerlovian Efficiency1,167 cited
  • 2000Statistical Inference in Nonparametric Frontier Models: The State of the Art1,053 cited
  • 2008The Measurement of Productive Efficiency and Productivity Change1,051 cited
  • 2013Data envelopment analysis: Prior to choosing a model896 cited
  • 2001Non‐parametric Productivity Analysis with Undesirable Outputs: An Application to the Canadian Pulp and Paper Industry655 cited
  • 2003Modeling undesirable factors in efficiency evaluation: Comment610 cited
  • 1973A NEW LOOK AT THE CAPITAL ASSET PRICING MODEL563 cited
  • 2005Weak Disposability in Nonparametric Production Analysis with Undesirable Outputs

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487 cited
  • 1990Translation invariance in data envelopment analysis454 cited
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    • 2017Performance evaluation of Portuguese mutual fund portfolios using the value-based DEA method33 cited
    • 2024Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA31 cited