2 papers
math.OC2016
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…
q-fin.PM2016
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…