Portfolio selection in a multi-moment setting : a simple Monte-Carlo-FDH algorithm
Year of publication: |
16 November 2017
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Authors: | Nalpas, Nicolas ; Simar, Léopold ; Vanhems, Anne |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 263.2017, 1 (16.11.), p. 308-320
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Subject: | Data envelopment analysis | Directional distance function | FDH estimator | Efficient frontier | Portfolio performance | Theorie | Theory | Technische Effizienz | Technical efficiency | Portfolio-Management | Portfolio selection | Data-Envelopment-Analyse |
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