Portfolio optimization with asset preselection using data envelopment analysis

DOI10.1007/s10100-022-00808-2MaRDI QIDQ6100687

Farhad Hosseinzadeh Lotfi, Vittorio Moriggia, Mohammad Mehdi Hosseinzadeh, Sergio Ortobelli Lozza

Publication date: 22 June 2023

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

efficiencydata envelopment analysisportfolio theoryasset performance criteria

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
• Measuring the efficiency of decision making units
• On the impact of semidefinite positive correlation measures in portfolio theory
• Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market
• Financial applications of bivariate Markov processes
• Mutual fund separation in financial theory - the separating distributions
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Timing portfolio strategies with exponential Lévy processes
• Portfolio performance evaluation in a mean--variance--skewness framework
• PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
• Minimizing the Expected Market Time to Reach a Certain Wealth Level
• Simple consistent estimators of stable distribution parameters
• Including principal component weights to improve discrimination in data envelopment analysis
• A slacks-based measure of efficiency in data envelopment analysis

This page was built for publication: Portfolio optimization with asset preselection using data envelopment analysis