Portfolio performance evaluation in a mean--variance--skewness framework
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Publication:2432863
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- The Efficiency Analysis of Choices Involving Risk
Cited in
(43)- Gains from diversification on convex combinations: a majorization and stochastic dominance approach
- Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
- Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
- A nonparametric quantity-of-quality approach to assessing financial asset return performance
- Multi-objective mean-variance-skewness model for nonconvex and stochastic optimal power flow considering wind power and load uncertainties
- Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm
- Performance evaluation of portfolios with margin requirements
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- Evaluating the dynamic performance of energy portfolios: empirical evidence from the DEA directional distance function
- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
- Usage of Cholesky decomposition in order to decrease the nonlinear complexities of some nonlinear and diversification models and present a model in framework of mean-semivariance for portfolio performance evaluation
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- Analyzing operational risk-reward trade-offs for start-ups
- Signal and image processing of physiological data: methods for diagnosis and treatment purposes
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