Parameter uncertainty in estimation of portfolio efficiency : evidence from an interval diversification-consistent DEA approach
Year of publication: |
2021
|
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Authors: | Xiao, Helu ; Ren, Tiantian ; Zhou, Zhongbao ; Liu, Wenbin |
Published in: |
Omega : the international journal of management science. - Oxford [u.a.] : Elsevier, ISSN 0305-0483, ZDB-ID 124502-8. - Vol. 103.2021, p. 1-25
|
Subject: | Data envelopment analysis | Diversification-consistent DEA | Mean-variance criterion | Parameter uncertainty | Portfolio efficiency | Data-Envelopment-Analyse | Portfolio-Management | Portfolio selection | Technische Effizienz | Technical efficiency | Effizienz | Efficiency | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Risiko | Risk |
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