7 citations · 7 across the 1 of their papers we have counts for
4 papers
The Concordance coefficient: An alternative to the Kruskal-Wallis test
Juan Francisco Monge
Kendall rank correlation coefficient is used to measure the ordinal association between two measurements. In this paper, we introduce the Concordance coefficient as a generalizatio…
Cardinality constrained portfolio selection via factor models
Juan Francisco Monge
In this paper we propose and discuss different 0-1 linear models in order to solve the cardinality constrained portfolio problem by using factor models. Factor models are used to b…
Robust DEA efficiency scores: A probabilistic/combinatorial approach
Mercedes Landete, Juan F. Monge, José L. Ruiz
In this paper we propose robust efficiency scores for the scenario in which the specification of the inputs/outputs to be included in the DEA model is modelled with a probability d…
Sharpe portfolio using a cross-efficiency evaluation
Juan F. Monge, Mercedes Landete, José L. Ruiz
The Sharpe ratio is a way to compare the excess returns (over the risk free asset) of portfolios for each unit of volatility that is generated by a portfolio. In this paper we intr…