Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market
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Publication:299916
DOI10.1016/J.EJOR.2013.12.002zbMATH Open1338.91132OpenAlexW1980043390MaRDI QIDQ299916FDOQ299916
Authors: Sungmook Lim, Kwang Wuk Oh, Joe Zhu 
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.12.002
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Portfolio theory (91G10) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
Cites Work
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- Ranking intervals and dominance relations for ratio-based efficiency analysis
- Efficient resource allocation via efficiency bootstraps: an application to R\&D project budgeting
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- Relationships between Data Envelopment Analysis and Multicriteria Decision Analysis
- Portfolio selection under DEA-based relative financial strength indicators: case of US industries
- Variables With Negative Values In Dea
- Polyhedral cone-ratio DEA models with an illustrative application to large commercials banks
Cited In (40)
- A modification of a mixed integer linear programming (MILP) model to avoid the computational complexity
- Allocation of weights using simultaneous optimization of inputs and outputs contribution in cross-efficiency evaluation of DEA
- Ranking decision making units: the cross-efficiency evaluation
- Integrated data envelopment analysis and cooperative game for evaluating energy efficiency of transportation sector: a case of Iran
- Peer-judgment risk minimization using DEA cross-evaluation with an application in fishery
- Cross-efficiency evaluation and improvement in two-stage network data envelopment analysis
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- Gangless cross-evaluation in DEA: an application to stock selection
- Logical efficiency decomposition for general two-stage systems in view of cross efficiency
- Data envelopment analysis cross efficiency evaluation with reciprocal behaviors
- Equity portfolio optimization: a DEA based methodology applied to the Zagreb stock exchange
- On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty
- An equilibrium efficiency frontier data envelopment analysis approach for evaluating decision-making units with fixed-sum outputs
- Enhancement of equity portfolio performance using data envelopment analysis
- How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
- Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
- Efficient allocation of resources to a portfolio of decision making units
- Efficiency evaluation of very large-scale samples: data envelopment analysis with angle-index synthesis
- Fuzzy measures for fuzzy cross efficiency in data envelopment analysis
- An aggressive game cross-efficiency evaluation in data envelopment analysis
- DEA cross-efficiency evaluation based on Pareto improvement
- Selecting the best of portfolio using OWA operator weights in cross efficiency-evaluation
- A Portfolio Selection Methodology Based on Data Envelopment Analysis
- Multiple attribute decision making based on cross-evaluation with uncertain decision parameters
- Fuzzy cross-efficiency evaluation: a possibility approach
- Model to estimate monthly time horizons for application of DEA in selection of stock portfolio and for maintenance of the selected portfolio
- A stochastic cross-efficiency DEA approach based on the prospect theory and its application in winner determination in public procurement tenders
- DEA cross‐efficiency aggregation based on preference structure and acceptability analysis
- Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
- An improved cross-ranking method in data envelopment analysis
- Utilising data envelopment analysis for selecting stock and benchmark firms in Tehran stock exchange
- A new DEA approach to fully rank DMUs with an application to MBA programs
- Portfolio optimization with asset preselection using data envelopment analysis
- Selecting slacks-based data envelopment analysis models
- Cross-efficiency evaluation in data envelopment analysis based on prospect theory
- A new Monte Carlo based procedure for complete ranking efficient units in DEA models
- On Pareto-optimality in the cross-efficiency evaluation
- A DEA ranking method based on cross-efficiency intervals and signal-to-noise ratio
- Stock assessment using cumulative prospect theory in DEA cross-efficiency model: a case study of the Indian stock market
- Optimization of short-term stock selection based on volume and price using a non-cooperative parallel DEA model
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