Efficient Frontier for Robust Higher-order Moment Portfolio Selection [PDF]
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four ...
Emmanuel Jurczenko +2 more
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A Dynamic Optimization Model for the Natural Gas Revenues [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2007 In this paper we study one of the most important challenges facing the Iranian Oil authorities: The allocation of natural gas reserves to different uses like exports, petrochemical plants, and injection to oil reserves for enhancing recovery factor.
Ahmad Jafari Samimi, Toraj Dehghani
doaj
Cost Efficiency in Regional Bus Companies: An Application of Alternative Stochastic Frontier Models [PDF]
This paper evaluates cost and scale efficiencies of Switzerland’s regulated bus companies operating in regional networks. The adopted methodology can be used in benchmarking analyses applied to incentive regulation systems.
Mehdi Farsi +2 more
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Performance Evolution Pattern [PDF]
مطالعات مدیریت بهبود و تحول, 2012 In this paper with the aims to examine the changes in productivity, two well-known techniques of evaluation over time studied that window Analysis and Malmquist productivity index and by selecting the appropriate length for the windows, the window ...
Mohammad Rahim Ramazanian +2 more
doaj
ECONOMICSThe main of the study is to comprehend how the mean variance efficient frontier method may be used in conjunction with Markowitz portfolio theory to produce an optimal portfolio.
Mallieswari R. +5 more
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A reasonable benchmarking frontier using DEA : an incentive scheme to improve efficiency in public hospitals [PDF]
There exists research relating management concepts with productivity measurement methods that offers useful solutions for improving management control in the public sector.
Jordi Surroca, Diego Prior
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A Comparison of Intercountry Agricultural Production Functions: A Frontier Function Approach [PDF]
Unlike the work by Hayami and Ruttan in the 1970s, this study utilizes frontier meta- production functions to study intercountry agricultural productivity differences.
Viveka P. Kudaligama, John F. Yanagida
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Neoclassical versus frontier production models? Testing for the skewness of regression residuals
The empirical literature on production and cost functions is divided into two strands: 1) the neoclassical approach that concentrates on model parameters, 2) the frontier approach that decomposes the disturbance term to a symmetric noise term and a ...
Kuosmanen, Timo, Fosgerau, Mogens
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Productivity of Nations: a stochastic frontier approach to TFP decomposition [PDF]
This paper tackles the problem of aggregate TFP measurement using stochastic frontier analysis (SFA). Data from Penn World Table 6.1 are used to estimate a world production frontier for a sample of 75 countries over a long period (1950-2000) taking ...
Jorge Oliveira Pires, Fernando Garcia
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A NAÏVE APPROACH TO SPEED UP PORTFOLIO OPTIMIZATION PROBLEM USING A MULTIOBJECTIVE GENETIC ALGORITHM
Investigaciones Europeas de Dirección y Economía de la Empresa, 2012 Genetic algorithms (GAs) are appropriate when investors have the objective of obtaining mean‑variance (VaR) efficient frontier as minimising VaR leads to non‑convex and non‑differential risk‑return optimisation problems.
Baixauli-Soler, J. Samuel +2 more
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