DEA and its uses in different countries
Volume: 154, Issue: 2, Pages: 337 - 344
Published: Apr 1, 2004
Abstract
This paper proposes a hybrid two-stage robustness approach to portfolio construction under data uncertainty. In the first stage, a stock’s efficiency performance from candidate stocks is assessed and selected using an integrated dynamic slack-based measure data envelopment analysis model. We discuss the stability of efficiency estimates using the leave-one-out method. In the second stage, a “robust” stable and scaled mean-variance-Entropic...
Paper Details
Title
DEA and its uses in different countries
Published Date
Apr 1, 2004
Volume
154
Issue
2
Pages
337 - 344
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