Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
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Publication:262452
DOI10.1007/S10288-015-0296-5zbMATH Open1335.91060OpenAlexW1806548812MaRDI QIDQ262452FDOQ262452
Publication date: 29 March 2016
Published in: 4OR (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10288-015-0296-5
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value at riskdirectional distance measurediversification-consistent DEAempirical behaviourportfolio efficiencyrisk-shaping
Management decision making, including multiple objectives (90B50) Portfolio theory (91G10) Stochastic programming (90C15)
Cites Work
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Cited In (7)
- A directional semi-oriented radial DEA measure: an application on financial stability and the efficiency of banks
- Estimation of fuzzy portfolio efficiency via an improved DEA approach
- Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
- A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
- Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
- Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
- Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds
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