Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation.

ABSTRACT: Portfolio performance evaluation is a major data envelopment analysis (DEA) application in the finance field. Most proposed DEA approaches focus on single-period portfolio performance assessment based on aggregated historical data. However, such an evaluation setting may result in the loss of valuable information in past individual time periods, and violate real-world portfolio managers' and investors' decision making, which generally involves multiple time periods. Furthermore, to our knowledge, all proposed DEA approaches treat the financial assets comprising a portfolio as a "black box": thus there is no information about their individual performance. Moreover, ideal portfolio evaluation models should enable the target portfolio to compare with all possible portfolios, i.e., enabling fu

SUBMITTER: Chang TS 

PROVIDER: S-EPMC7534632 | biostudies-literature | 2021 Jun

REPOSITORIES: biostudies-literature