Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm
type: Item
instance of: scholarly article
title: Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm
zbMATH Open document ID: 1380.90302
author: Nicolas Nalpas
author: Léopold Simar
author: Anne Vanhems
published in: European Journal of Operational Research
publication date: 2018-02-06T00:00:00Z
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 90C08
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6835223
zbMATH Keywords: data envelopment analysis
zbMATH Keywords: directional distance function
zbMATH Keywords: FDH estimator
zbMATH Keywords: efficient frontier
zbMATH Keywords: portfolio performance
MaRDI profile type: Publication
full work available at URL: j.ejor.2017.05.024
OpenAlex ID: W2615197674
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DOI: 10.1016/J.EJOR.2017.05.024
description: scientific article; zbMATH DE number 6835223