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Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour.
Martin Branda
Published in:
4OR (2016)
Keyphrases
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data envelopment analysis
data sets
historical data
learning models
training data
dea models
efficient frontier
empirical data
data points
input output
statistical tests
high dimensional data
data mining techniques
lower bound
learned models
data analysis
objective function