S. ‎Banihashemi‎

[ 1 ] - Estimation of portfolio efficient frontier by different measures of risk via ‎DEA

In this paper, linear Data Envelopment Analysis models are used to estimate Markowitz efficient frontier. Conventional DEA models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. Therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...