Evaluation of mutual funds using multi-dimensional information

DOI10.1007/s11704-010-0503-7zbMath1267.91086MaRDI QIDQ352005

Xiujuan Zhao, Jianmin Shi

Publication date: 4 July 2013

Published in: Frontiers of Computer Science in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11704-010-0503-7

zbMATH Keywords

performance evaluation; data envelopment analysis (DEA); cone-ratio; expected shortfall (ES); mutual fund

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

90C90: Applications of mathematical programming

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An R Package for Value at Risk and Expected Shortfall

Cites Work

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