Mutual fund performance evaluation using data envelopment analysis with new risk measures.
Zhiping ChenRuiyue LinPublished in: OR Spectr. (2006)
Keyphrases
- data envelopment analysis
- risk measures
- portfolio selection
- portfolio optimization
- input output
- efficient frontier
- linear programming
- dea models
- robust optimization
- multi criteria
- multiple objective programming
- risk averse
- dea model
- portfolio management
- mathematical programming
- special case
- expert systems
- objective function