Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm
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Publication:1695045
DOI10.1016/j.ejor.2017.05.024zbMath1380.90302OpenAlexW2615197674MaRDI QIDQ1695045
Anne Vanhems, Nicolas Nalpas, Léopold Simar
Publication date: 6 February 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2017.05.024
data envelopment analysisefficient frontierdirectional distance functionportfolio performanceFDH estimator
Applications of statistics to economics (62P20) Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
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