Input/output selection in DEA under expert information, with application to financial markets

DOI10.1016/J.EJOR.2010.06.027MaRDI QIDQ613500zbMATH OpenOpenAlexFDO

Authors X. Zhang, N. Chanaka P. Edirisinghe

Publication date 20 December 2010

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2010.06.027

zbMATH Keywords

data envelopment analysisfundamental investment analysisportfolio selectionvalue of expert information

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Decision theory (91B06)

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Cites work

• A Procedure for Ranking Efficient Units in Data Envelopment Analysis
• An Illustrative Application of Idea (Imprecise Data Envelopment Analysis) to a Korean Mobile Telecommunication Company
• Data envelopment analysis and university selection
• Data Envelopment Analysis Applied to Electricity Distribution Districts
• Estimating most productive scale size using data envelopment analysis
• Evaluating Contextual Variables Affecting Productivity Using Data Envelopment Analysis
• Fuzzy scores of technical efficiency
• scientific article; zbMATH DE number 3251902 (Why is no real title available?)
• scientific article; zbMATH DE number 3356467 (Why is no real title available?)
• Imprecise DEA via Standard Linear DEA Models with a Revisit to a Korean Mobile Telecommunication Company
• Measuring the efficiency of decision making units
• Performance Evaluation in Stochastic Environments Using Mean-Variance Data Envelopment Analysis
• Pitfalls and protocols in DEA
• Portfolio selection under DEA-based relative financial strength indicators: case of US industries
• Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
• Weight-restricted DEA in action: from expert opinions to mathematical models

Cited in

(7)

• Model to estimate monthly time horizons for application of DEA in selection of stock portfolio and for maintenance of the selected portfolio
• Enhancement of equity portfolio performance using data envelopment analysis
• Estimating the degree of firms' input market power via data envelopment analysis: evidence from the global biotechnology and pharmaceutical industry
• Stochastic programming DEA model of fundamental analysis of public firms for portfolio selection
• Copula approach to select input/output variables for DEA
• Utilising data envelopment analysis for selecting stock and benchmark firms in Tehran stock exchange
• Fifty years of data envelopment analysis

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