Two-stage financial risk tolerance assessment using data envelopment analysis

DOI10.1016/j.ejor.2013.08.030zbMath1339.90166OpenAlexW2051726861MaRDI QIDQ297229

Angela T. Kingyens, Joseph C. Paradi, William W. Cooper

Publication date: 24 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.08.030

zbMATH Keywords

investment analysisdata envelopment analysisfinancerisk managementOR in banking

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Management decision making, including multiple objectives (90B50)

Related Items (3)

Impact of liquidity risk on variations in efficiency and productivity: a panel gamma simulated maximum likelihood estimation ⋮ Evaluating the performance of supply chain risk mitigation strategies using network data envelopment analysis ⋮ A nonlinear interval portfolio selection model and its application in banks

Uses Software

• IPSSIS

Cites Work

• Measuring the efficiency of decision making units
• IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection
• Robust portfolios: contributions from operations research and finance
• Dynamic portfolio optimization with risk control for absolute deviation model
• Portfolio selection in stochastic markets with HARA utility functions
• Portfolio optimization for wealth-dependent risk preferences
• Gender, financial risk, and probability weights
• IDEA and AR-IDEA: Models for Dealing with Imprecise Data in DEA
• A slacks-based measure of efficiency in data envelopment analysis

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