Portfolio performance benchmarking with data envelopment analysis

DOI10.1142/S0217595913500115MaRDI QIDQ2868181zbMATH OpenOpenAlexFDO

Authors Philip Y. L. Wong, Stephen C. H. Leung, John D. Gilleard

Publication date 27 December 2013

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0217595913500115

zbMATH Keywords

benchmarkingdata envelopment analysisfacility management

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• Enhancement of equity portfolio performance using data envelopment analysis
• A Portfolio Selection Methodology Based on Data Envelopment Analysis
• Benchmark-based evaluation of portfolio performance: a characterization
• Hedge fund performance appraisal using data envelopment analysis
• Portfolio optimization with asset preselection using data envelopment analysis
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• A two-phase data envelopment analysis model for portfolio selection
• Portfolio performance measurement using differential evolution
• Data envelopment analysis models of investment funds

Cites work

• Best practice analysis of bank branches: An application of DEA in a large Canadian bank
• Measuring the efficiency of decision making units

Cited in

(3)

• Input Demand Under Joint Energy and Output Prices Uncertainties
• Portfolio optimization with asset preselection using data envelopment analysis
• Benchmarking with quality-adjusted DEA (Q-DEA) to seek lower-cost high-quality service: evidence from a U.S.bank application

This page was built for publication: Portfolio performance benchmarking with data envelopment analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2868181)