Using MODEA and MODM with Different Risk Measures for Portfolio Optimization
The purpose of this study is to develop portfolio optimization and assets allocation using our proposed models. The study is based on a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Conventional DEA models assume non-negative data for inputs and outputs. However, m...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2020-01-01
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| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | http://amfa.iau-arak.ac.ir/article_666546_9ac8943256d5c0fdbc08683b73ec08c9.pdf |