Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm (Q1695045)
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scientific article; zbMATH DE number 6835223
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| English | Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm |
scientific article; zbMATH DE number 6835223 |
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Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm (English)
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6 February 2018
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data envelopment analysis
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directional distance function
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FDH estimator
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efficient frontier
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portfolio performance
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0.8111364841461182
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0.7979834675788879
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0.7886698246002197
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0.7683606743812561
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