Diversification-consistent data envelopment analysis with general deviation measures
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Recommendations
- Reformulations of input-output oriented DEA tests with diversification
- Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
- On relations between DEA-risk models and stochastic dominance efficiency tests
- Estimation of portfolio efficiency via stochastic DEA
- Data envelopment analysis models of investment funds
Cited in
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- Multiplier dynamic data envelopment analysis based on directional distance function: an application to mutual funds
- Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
- Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
- Proactive data envelopment analysis: effective production and capacity expansion in stochastic environments
- Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
- Reformulations of input-output oriented DEA tests with diversification
- Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
- The generalized range adjusted measure in data envelopment analysis: properties, computational aspects and duality
- Sensitivity and stability analysis in DEA with bounded uncertainty
- An equilibrium efficiency frontier data envelopment analysis approach for evaluating decision-making units with fixed-sum outputs
- On relations between DEA-risk models and stochastic dominance efficiency tests
- Data envelopment analysis models of investment funds
- Trade-off between robust risk measurement and market principles
- Estimation of portfolio efficiency via stochastic DEA
- Performance evaluation of portfolios with fuzzy returns
- Estimation of fuzzy portfolio efficiency via an improved DEA approach
- Measuring the dynamic efficiency of socially responsible investment funds: evidence from dynamic network DEA with diversification
- Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
- Investigating models of stochastic data envelopment analysis
- Risk-aversion versus risk-loving preferences in nonparametric frontier-based fund ratings: a buy-and-hold backtesting strategy
- Uncertain bi-objective portfolio programming models of risky assets with liquidity and entropy constraints under uncertainty theory based DEA efficiency measures
- Data envelopment analysis with shrinkage estimators
- A multi-period decision framework for mutual fund efficiency: integrating range directional DEA with machine learning for dynamic investment optimization
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