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Portfolio selection in a multi-moment setting: A simple Monte-Carlo-FDH algorithm

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  • Nalpas, Nicolas
  • Simar, Leopold
  • Vanhems, Anne

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  • Nalpas, Nicolas & Simar, Leopold & Vanhems, Anne, 2017. "Portfolio selection in a multi-moment setting: A simple Monte-Carlo-FDH algorithm," LIDAM Reprints ISBA 2017027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2017027
    Note: In : European Journal of Operational Research, vol. 263, no.1, p. 308-320 (2017)
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    Cited by:

    1. Brière, Marie & Simar, Léopold & Szafarz, Ariane & Vanhems, Anne, 2023. "Sensitivity to measurement errors of the distance to the efficient frontier," LIDAM Discussion Papers ISBA 2023017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Ren, Tiantian & Kerstens, Kristiaan & Kumar, Saurav, 2024. "Risk-aversion versus risk-loving preferences in nonparametric frontier-based fund ratings: A buy-and-hold backtesting strategy," European Journal of Operational Research, Elsevier, vol. 319(1), pages 332-344.
    3. 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).

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