DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure (Q1744488): Difference between revisions

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scientific article

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English	DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure	scientific article

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instance of

scholarly article

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title

DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure (English)

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zbMATH Open document ID

1431.91373

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DOI

10.1016/j.ejor.2017.07.010

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European Journal of Operational Research

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publication date

23 April 2018

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Mathematics Subject Classification ID

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data envelopment analysis

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portfolio performance evaluation

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DEA frontier improvement

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out-of-sample evaluation

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sustainability information disclosure

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2017.07.010

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OpenAlex ID

W2732870307

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cites work

A trade-level DEA model to evaluate relative performance of investment fund managers

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A data envelopment analysis approach to measure the mutual fund performance

0 references

Constant and variable returns to scale DEA models for socially responsible investment funds

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Sensitivity Analysis for Mean-Variance Portfolio Problems

0 references

Diversification-consistent data envelopment analysis with general deviation measures

0 references

Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach

0 references

Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function

0 references

Evaluating mutual fund performance: an application of minimum convex input requirement set approach

0 references

Mutual fund performance evaluation using data envelopment analysis with new risk measures

0 references

A robust nonparametric approach to evaluate and explain the performance of mutual funds

0 references

A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

0 references

Performance evaluation of portfolios with margin requirements

0 references

Hedge fund performance appraisal using data envelopment analysis

0 references

Improved Portfolio Choice Using Second-Order Stochastic Dominance*

0 references

Portfolio performance evaluation in a mean--variance--skewness framework

0 references

A mean-absolute deviation-skewness portfolio optimization model

0 references

Data envelopment analysis models of investment funds

0 references

Resampling DEA estimates of investment fund performance

0 references

An Out-of-Sample Evaluation of Dynamic Portfolio Strategies

0 references

Data envelopment analysis of mutual funds based on second-order stochastic dominance

0 references

Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach

0 references

Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection

0 references

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

0 references

Tri-criterion modeling for constructing more-sustainable mutual funds

0 references

A note on mean absolute deviation

0 references

Mean-CVaR portfolio selection: a nonparametric estimation framework

0 references

Diversified portfolios with different entropy measures

0 references

Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1744488

@@ Property / cites work @@
+A trade-level DEA model to evaluate relative performance of investment fund managers
+Normal rank
@@ Property / cites work @@
+A data envelopment analysis approach to measure the mutual fund performance
+Normal rank
@@ Property / cites work @@
+Constant and variable returns to scale DEA models for socially responsible investment funds
+Normal rank
@@ Property / cites work @@
+Sensitivity Analysis for Mean-Variance Portfolio Problems
+Normal rank
@@ Property / cites work @@
+Diversification-consistent data envelopment analysis with general deviation measures
+Normal rank
@@ Property / cites work @@
+Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
+Normal rank
@@ Property / cites work @@
+Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
+Normal rank
@@ Property / cites work @@
+Evaluating mutual fund performance: an application of minimum convex input requirement set approach
+Normal rank
@@ Property / cites work @@
+Mutual fund performance evaluation using data envelopment analysis with new risk measures
+Normal rank
@@ Property / cites work @@
+A robust nonparametric approach to evaluate and explain the performance of mutual funds
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Performance evaluation of portfolios with margin requirements
+Normal rank
@@ Property / cites work @@
+Hedge fund performance appraisal using data envelopment analysis
+Normal rank
@@ Property / cites work @@
+Improved Portfolio Choice Using Second-Order Stochastic Dominance*
+Normal rank
@@ Property / cites work @@
+Portfolio performance evaluation in a mean--variance--skewness framework
+Normal rank
@@ Property / cites work @@
+A mean-absolute deviation-skewness portfolio optimization model
+Normal rank
@@ Property / cites work @@
+Data envelopment analysis models of investment funds
+Normal rank
@@ Property / cites work @@
+Resampling DEA estimates of investment fund performance
+Normal rank
@@ Property / cites work @@
+An Out-of-Sample Evaluation of Dynamic Portfolio Strategies
+Normal rank
@@ Property / cites work @@
+Data envelopment analysis of mutual funds based on second-order stochastic dominance
+Normal rank
@@ Property / cites work @@
+Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
+Normal rank
@@ Property / cites work @@
+Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
+Normal rank
@@ Property / cites work @@
+Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
+Normal rank
@@ Property / cites work @@
+Tri-criterion modeling for constructing more-sustainable mutual funds
+Normal rank
@@ Property / cites work @@
+A note on mean absolute deviation
@@ Property / cites work: A note on mean absolute deviation / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-CVaR portfolio selection: a nonparametric estimation framework
+Normal rank
@@ Property / cites work @@
+Diversified portfolios with different entropy measures
+Normal rank
@@ Property / cites work @@
+Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
+Normal rank