Portfolio formation based on risk-adjusted performance and distribution-based returns using data envelopment analysis

Portfolio formation based on risk-adjusted performance and distribution-based returns using data envelopment analysis

Purpose: This research aims to construct a portfolio based on risk-adjusted performance and distribution-based returns and determine the efficiency using the Data Envelopment Analysis (DEA) approach. In this study, the role of return distribution in the efficiency of risky assets is also examined to...

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Bibliographic Details
Main Authors: Hosseinali Heydarzadeh, Fereydon Rahnamay Roodposhti, Alireza Rashidi Komijan, Seyyed Esmaeil Najafi
Format: Article
Language:fas
Published: Ayandegan Institute of Higher Education, Tonekabon, 2024-08-01
Series:تصمیم گیری و تحقیق در عملیات
Subjects:
value at risk
efficient portfolio
probability distribution
data envelopment analysis
Online Access:https://www.journal-dmor.ir/article_189301_43a18f398ee5e972042b743f8cba5abb.pdf
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