Resampling DEA estimates of investment fund performance
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Publication:2253401
DOI10.1016/j.ejor.2012.07.015zbMath1292.91194OpenAlexW2002486343MaRDI QIDQ2253401
Publication date: 27 July 2014
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://dspace.lboro.ac.uk/2134/14796
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
Related Items (6)
On relations between DEA-risk models and stochastic dominance efficiency tests ⋮ Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it ⋮ Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds ⋮ DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure ⋮ A trade-level DEA model to evaluate relative performance of investment fund managers ⋮ Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
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