Mean-value at risk portfolio efficiency : approaches based on data envelopment analysis models with negative data and their empirical behaviour
Year of publication: |
March 2016
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Authors: | Branda, Martin |
Published in: |
4OR : a quarterly journal of operations research. - Berlin, Heidelberg : Springer, ZDB-ID 2127815-5. - Vol. 14.2016, 1, p. 77-99
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Subject: | Portfolio efficiency | Diversification-consistent DEA | Directional distance measure | Value at risk | Risk-shaping | Empirical behaviour | Theorie | Theory | Portfolio-Management | Portfolio selection | Data-Envelopment-Analyse | Data envelopment analysis | Technische Effizienz | Technical efficiency | Risikomaß | Risk measure | Effizienz | Efficiency |
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