Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
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Publication:2674940
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Cites work
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- Hedge fund performance appraisal using data envelopment analysis
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- Mutual fund performance evaluation using data envelopment analysis with new risk measures
- Optimal investment with noise trading risk
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- Reformulations of input-output oriented DEA tests with diversification
- Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
- The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance
Cited in
(3)- Measuring short-term risk of initial public offering of equity securities: a hybrid Bayesian and data-envelopment-analysis-based approach
- Gangless cross-evaluation in DEA: an application to stock selection
- Optimization of short-term stock selection based on volume and price using a non-cooperative parallel DEA model
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