Data envelopment analysis with shrinkage estimators
From MaRDI portal
Cites work
- A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
- A First Course in Order Statistics
- A general methodology for bootstrapping in non-parametric frontier models
- A generalized robust data envelopment analysis model based on directional distance function
- A well-conditioned estimator for large-dimensional covariance matrices
- Benchmarking with DEA, SFA, and R.
- Coherent measures of risk
- Coherent measures of risk in everyday market practice†
- Computing the nearest correlation matrix--a problem from finance
- Conditional value‐at‐risk beyond finance: a survey
- Data envelopment analysis (DEA) -- thirty years on
- Data envelopment analysis models of investment funds
- Data envelopment analysis. A handbook of empirical studies and applications
- Diversification-consistent data envelopment analysis with general deviation measures
- Efficient frontier of utility and CVaR
- Estimation of portfolio efficiency via stochastic DEA
- Estimation-adjusted VaR
- Flexible shrinkage in portfolio selection
- Formulation and estimation of stochastic frontier production function models
- Generalised commensurability properties of efficiency measures: implications for productivity indicators
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 5080888 (Why is no real title available?)
- Improved estimation of kurtosis parameters for two multivariate populations
- Large Dynamic Covariance Matrices
- Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach
- Measuring the dynamic efficiency of socially responsible investment funds: evidence from dynamic network DEA with diversification
- Microfoundations for stochastic frontiers
- Mutual fund performance evaluation using data envelopment analysis with new risk measures
- Negative data in DEA: a directional distance approach applied to bank branches
- Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
- Optimal shrinkage estimator for high-dimensional mean vector
- Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default
- Resampling DEA estimates of investment fund performance
- Risk-aversion versus risk-loving preferences in nonparametric frontier-based fund ratings: a buy-and-hold backtesting strategy
- Sensitivity analysis of efficiency scores: How to bootstrap in nonparametric frontier models
- Shrinkage estimation
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
- Stochastic data envelopment analysis -- a review
- Stochastic data envelopment analysis in the presence of undesirable outputs: an application to the power industry
- Stochastic efficiency measures for production units with correlated data
- The asymptotic distribution of the trimmed mean
- Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
This page was built for publication: Data envelopment analysis with shrinkage estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7288463)
