We construct a new family of chance constrained directional models in stochastic data envelopment analysis, generalizing the deterministic directional models and the chance constrained radial models. We prove that chance constrained directional models define the same concept of stochastic...

This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcao). We start with information on the assets from...

This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from...