A distribution-free approach to estimating best response values with application to mutual fund performance modeling

DOI10.1016/J.EJOR.2004.02.006zbMath1064.91049OpenAlexW1975078969MaRDI QIDQ1780762

Michael Y. Hu, Marvin D. Troutt, Murali S. Shanker

Publication date: 13 June 2005

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.02.006

zbMATH Keywords

FinanceParameter estimationStatisticsFinancial DSSFrontier estimationSecurities

Mathematics Subject Classification ID

Cites Work

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• A gamma-distributed stochastic frontier model
• Likelihood functions for generalized stochastic frontier estimation
• Formulation and estimation of stochastic frontier production function models
• Stochastic frontier models. A Bayesian perspective
• Efficiency Estimation from Cobb-Douglas Production Functions with Composed Error

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