Lim, Sungmook; Oh, Kwang Wuk; Zhu, Joe - In: European Journal of Operational Research 236 (2014) 1, pp. 361-368
We propose a way of using DEA cross-efficiency evaluation in portfolio selection. While cross efficiency is an approach developed for peer evaluation, we improve its use in portfolio selection. In addition to (average) cross-efficiency scores, we suggest to examine the variations of...