SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis
16 references·1 citing·29 second hop
Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis (2017)Portfolio performance evaluation in Mean-…A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA (2009)A semi-oriented radial measur…A modified slacks-based measure model for data envelopment analysis with ‘natural’ negative outputs and inputs (2006)A modified slacks-based measu…Negative data in DEA: a directional distance approach applied to bank branches (2004)Negative data in DEA: a direc…Multiple criteria decision making combined with finance: A categorized bibliographic study (2003)Multiple criteria decision ma…Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors (2002)Portfolio Value‐at‐Risk with …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Probabilistic constrained optimization : methodology and applications (2000)Probabilistic constrained opt…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking (1999)Mutual fund performance appra…Coherent Measures of Risk (1999)Coherent Measures of RiskAn Overview of Value at Risk (1997)An Overview of Value at RiskSome 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…An Expected Gain-Confidence Limit Criterion for Portfolio Selection (1963)An Expected Gain-Confidence L…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns (2020)A Credibilistic Fuzzy DEA App…The Measurement of Productive Efficiency (1957)DEA models with undesirable inputs and outputs (2009)Treating undesirable outputs in DEA: A critical review (2019)Safety First and the Holding of Assets (1952)Dividends, Earnings, Leverage, Stock Prices and the Supply of Capital to Corporations (1962)The variation of certain speculative prices (1997)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009)RETRACTED: Common risk factors in the cross-section of corporate bond returns (2018)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)A Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)A slacks-based measure of efficiency in data envelopment analysis (2001)A slacks-based measure of super-efficiency in data envelopment analysis (2002)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)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)
this work references cited by second hop

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
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 2004Negative data in DEA: a directional distance approach applied to bank branches440 cited
  • 1963An Expected Gain-Confidence Limit Criterion for Portfolio Selection429 cited
  • 2003Multiple criteria decision making combined with finance: A categorized bibliographic study392 cited
  • 2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors284 cited
  • 2000Probabilistic constrained optimization : methodology and applications257 cited
  • 2006A modified slacks-based measure model for data envelopment analysis with ‘natural’ negative outputs and inputs229 cited
  • 2009A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

225 cited
  • 1999Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking200 cited
  • Cited by

    • 2020A Credibilistic Fuzzy DEA Approach for Portfolio Efficiency Evaluation and Rebalancing Toward Benchmark Portfolios Using Positive and Negative Returns38 cited