Evaluating the dynamic performance of energy portfolios: empirical evidence from the DEA directional distance function

DOI10.1016/J.EJOR.2017.08.008MaRDI QIDQ1744480zbMATH OpenOpenAlexFDO

Authors Yue-Jun Zhang, Ming-Ying Chen

Publication date 23 April 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2017.08.008

zbMATH Keywords

DEA directional distance functionDEA window analysisenergy investment performanceOR in energyportfolio methods

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Portfolio theory (91G10)

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Cites work

• A Mathematical Theory of Communication
• Benefit and distance functions
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Measuring the efficiency of decision making units
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• Negative data in DEA: a directional distance approach applied to bank branches
• Network data envelopment analysis: a review
• Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
• Portfolio optimization under loss aversion
• Portfolio performance evaluation in a mean--variance--skewness framework
• Profit, directional distance functions, and Nerlovian efficiency
• Returns to scale and most productive scale size in DEA with negative data
• Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
• Units invariant and translation invariant DEA models

Cited in

(5)

• A partial adjustment valuation approach with stochastic and dynamic speeds of partial adjustment to measuring and evaluating the business value of information technology
• Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach
• A novel integrated measure for energy market efficiency
• Performance replication of the spot energy index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets
• Fifty years of data envelopment analysis

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