Portfolio selection in a multi-moment setting : a simple Monte-Carlo-FDH algorithm
Nicolas Nalpas, Léopold Simar, Anne Vanhems
| 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 | Data-Envelopment-Analyse | Portfolio-Management | Portfolio selection | Theorie | Theory | Technische Effizienz | Technical efficiency | Effizienz | Efficiency | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.05.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011793859