Reformulations of input-output oriented DEA tests with diversification

DOI10.1016/j.orl.2013.06.011zbMath1286.91042OpenAlexW2088393085MaRDI QIDQ2450703

Martin Branda

Publication date: 15 May 2014

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2013.06.011

zbMATH Keywords

data envelopment analysisdiversificationconvex reformulationCVaR deviationsinput-output oriented tests

Mathematics Subject Classification ID

Decision theory (91B06) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

Related Items (6)

Estimation of fuzzy portfolio efficiency via an improved DEA approach ⋮ Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach ⋮ Performance evaluation of portfolios with margin requirements ⋮ DEA models equivalent to general $N$th order stochastic dominance efficiency tests ⋮ Performance evaluation of portfolios with fuzzy returns ⋮ Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

Cites Work

• Unnamed Item
• Data envelopment analysis models of investment funds
• On a basic definition of returns to scale
• Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
• Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
• Sample average approximation of expected value constrained stochastic programs
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• Diversification-consistent data envelopment analysis with general deviation measures
• Portfolio performance evaluation in a mean--variance--skewness framework
• Data envelopment analysis of mutual funds based on second-order stochastic dominance
• Generalized deviations in risk analysis
• Optimality conditions in portfolio analysis with general deviation measures
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• Coherent Measures of Risk
• Stochastic programming problems with generalized integrated chance constraints
• TSD-consistent performance assessment of mutual funds
• Measuring the performance of ethical mutual funds: a DEA approach
• A data envelopment analysis approach to measure the mutual fund performance

This page was built for publication: Reformulations of input-output oriented DEA tests with diversification