Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
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DOI: 10.1007/s10288-015-0296-5
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Cited by:
- Adam, Lukáš & Branda, Martin, 2021. "Risk-aversion in data envelopment analysis models with diversification," Omega, Elsevier, vol. 102(C).
- Xiao, Helu & Ren, Tiantian & Zhou, Zhongbao & Liu, Wenbin, 2021. "Parameter uncertainty in estimation of portfolio efficiency: Evidence from an interval diversification-consistent DEA approach," Omega, Elsevier, vol. 103(C).
- Marah-Lisanne Thormann & Phan Tu Vuong & Alain B. Zemkoho, 2024. "The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization," Papers 2402.09194, arXiv.org.
- Chang, Tsung-Sheng & Tone, Kaoru & Wu, Chen-Hui, 2021. "Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 766-781.
- Xiao, Helu & Zhou, Zhongbao & Ren, Teng & Liu, Wenbin, 2022. "Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale," Omega, Elsevier, vol. 111(C).
- Sepideh Kaffash & Reza Kazemi Matin & Mohammad Tajik, 2018. "A directional semi-oriented radial DEA measure: an application on financial stability and the efficiency of banks," Annals of Operations Research, Springer, vol. 264(1), pages 213-234, May.
- Ruiyue Lin & Zhiping Chen & Qianhui Hu & Zongxin Li, 2017. "Dynamic network DEA approach with diversification to multi-period performance evaluation of funds," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(3), pages 821-860, July.
- Sepideh Kaffash & Marianna Marra, 2017. "Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds," Annals of Operations Research, Springer, vol. 253(1), pages 307-344, June.
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Keywords
Portfolio efficiency; Diversification–consistent DEA; Directional distance measure; Value at risk; Risk-shaping; Empirical behaviour;All these keywords.
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