Dataset Information

Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach.

ABSTRACT: This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a selected sample of diversified Exchange Traded Funds (ETFs) operating in the US energy sector. Our results with respect to all models and time horizons mainly show that: (i) ETFs related to nuclear energy are more often viewed as efficient according to all DEA models considered; (ii) the efficient portfolios do not contain any ETFs related to the renewable energy sector; and (iii) natural gas and oil are the sectors that have the most ETFs represented in efficient portfolios.

Supplementary information

The online version contains supplementary material available at 10.1007/s10479-021-04323-6.

SUBMITTER: Henriques CO

PROVIDER: S-EPMC8783784 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature

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Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach.

Henriques Carla Oliveira CO Neves Maria Elisabete ME Castelão Licínio L Nguyen Duc Khuong DK

Annals of operations research 20220123 1

This paper proposes a two-step approach to build portfolio models. The first step employs the Data Envelopment Analysis (DEA) to select assets attaining efficient financial performance according to a set of indicators used as inputs and outputs. The second step builds interval multiobjective portfolio models to obtain the optimal composition of efficient portfolios previously identified with respect to investor preferences. The usefulness of this proposed methodology is illustrated through a sel ...[more]

PMID: 35095151

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Project description:Subspecies nomenclature systems of pathogens are increasingly based on sequence data. The use of phylogenetics to identify and differentiate between clusters of genetically similar pathogens is particularly prevalent in virology from the nomenclature of human papillomaviruses to highly pathogenic avian influenza (HPAI) H5Nx viruses. These nomenclature systems rely on absolute genetic distance thresholds to define the maximum genetic divergence tolerated between viruses designated as closely related. However, the phylogenetic clustering methods used in these nomenclature systems are limited by the arbitrariness of setting intra and intercluster diversity thresholds. The lack of a consensus ground truth to define well-delineated, meaningful phylogenetic subpopulations amplifies the difficulties in identifying an informative distance threshold. Consequently, phylogenetic clustering often becomes an exploratory, ad hoc exercise. Phylogenetic Clustering by Linear Integer Programming (PhyCLIP) was developed to provide a statistically principled phylogenetic clustering framework that negates the need for an arbitrarily defined distance threshold. Using the pairwise patristic distance distributions of an input phylogeny, PhyCLIP parameterizes the intra and intercluster divergence limits as statistical bounds in an integer linear programming model which is subsequently optimized to cluster as many sequences as possible. When applied to the hemagglutinin phylogeny of HPAI H5Nx viruses, PhyCLIP was not only able to recapitulate the current WHO/OIE/FAO H5 nomenclature system but also further delineated informative higher resolution clusters that capture geographically distinct subpopulations of viruses. PhyCLIP is pathogen-agnostic and can be generalized to a wide variety of research questions concerning the identification of biologically informative clusters in pathogen phylogenies. PhyCLIP is freely available at http://github.com/alvinxhan/PhyCLIP, last accessed March 15, 2019.

Dataset Information

Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach.

Supplementary information

Publications

Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach.

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