Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
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Cites work
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- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 2121076 (Why is no real title available?)
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- Diversification-consistent data envelopment analysis with general deviation measures
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- On relations between DEA-risk models and stochastic dominance efficiency tests
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Cited in
(9)- Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
- Estimation of fuzzy portfolio efficiency via an improved DEA approach
- Data envelopment analysis models of investment funds
- A directional semi-oriented radial DEA measure: an application on financial stability and the efficiency of banks
- A random-fuzzy portfolio selection DEA model using value-at-risk and conditional value-at-risk
- Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds
- Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
- Diversification-consistent data envelopment analysis with general deviation measures
- Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
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