典型文献
Stock Efficiency Evaluation Based on Multiple Risk Measures:A DEA-Like Envelopment Approach
文献摘要：
This paper proposes a new approach for stock efficiency evaluation based on multiple risk measures.A derived programming model with quadratic constraints is developed based on the envelopment form of data envelopment analysis(DEA).The derived model serves as an input-oriented DEA model by minimizing inputs such as multiple risk measures.In addition,the Russell input measure is introduced and the corresponding efficiency results are evaluated.The findings show that stock efficiency evaluation under the new framework is also effective.The efficiency values indicate that the portfolio frontier under the new framework is more externally enveloped than the DEA efficient surface under the standard DEA framework.
文献关键词：
中图分类号：
作者姓名：
LI Jun;GAO Hengxuan;LI Yongjun;JIN Xi;LIANG Liang
作者机构：
School of Management,University of Science and Technology of China,Hefei 230026,China;School of Man-agement,Hefei University of Technology,Hefei 230009,China
文献出处：
引用格式：
[1]LI Jun;GAO Hengxuan;LI Yongjun;JIN Xi;LIANG Liang-.Stock Efficiency Evaluation Based on Multiple Risk Measures:A DEA-Like Envelopment Approach)[J].系统科学与复杂性学报（英文版）,2022(04):1480-1499
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Stock,Efficiency,Evaluation,Based,Multiple,Risk,Measures,DEA,Like,Envelopment,Approach,This,paper,proposes,new,approach,stock,efficiency,evaluation,multiple,risk,measures,derived,programming,model,quadratic,constraints,developed,envelopment,form,data,analysis,serves,oriented,by,minimizing,inputs,such,In,addition,Russell,introduced,corresponding,results,are,evaluated,findings,show,that,under,framework,also,effective,values,indicate,portfolio,frontier,more,externally,enveloped,than,efficient,surface,standard
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0.631264
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