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Volumn 13, Issue 2, 2008, Pages

DEA investment strategy in the Brazilian stock market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 55649101616     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (15)

References (18)
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    • Avkiran, N.K.1
  • 2
    • 0021497874 scopus 로고
    • Some models for estimating technical and scale inefficiencies in data envelopment analysis
    • Banker, R. D. A., A. Charnes, and W. W. Cooper (1984) "Some models for estimating technical and scale inefficiencies in data envelopment analysis" Management Science 30, 1078-1092.
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    • Banker, R.D.A.1    Charnes, A.2    Cooper, W.W.3
  • 6
    • 55649085037 scopus 로고    scopus 로고
    • Cornuejols, G., and M. Trick (2004) Quantitative methods for the management sciences Course notes, Graduate School of Industrial Administration, Carnegie Mellon University, 45-760. In: .
    • Cornuejols, G., and M. Trick (2004) "Quantitative methods for the management sciences" Course notes, Graduate School of Industrial Administration, Carnegie Mellon University, 45-760. In: .
  • 7
    • 0001113653 scopus 로고
    • An empirical evaluation of alternative portfolio-selection models
    • Cohen, K. J., and J. A. Pogue (1967) "An empirical evaluation of alternative portfolio-selection models" Journal of Business 40, 166-193.
    • (1967) Journal of Business , vol.40 , pp. 166-193
    • Cohen, K.J.1    Pogue, J.A.2
  • 8
    • 0034449421 scopus 로고    scopus 로고
    • Performance of universal portfolios in the stock market
    • IEEE International Symposium on Information Theory, Sorrento, Italy
    • Cover, T., and D. Julian (2000) "Performance of universal portfolios in the stock market" Information Theory Proceedings. IEEE International Symposium on Information Theory - Sorrento, Italy
    • (2000) Information Theory Proceedings
    • Cover, T.1    Julian, D.2
  • 9
    • 33747859246 scopus 로고    scopus 로고
    • Performance appraisal of hedge funds using data envelopment analysis
    • Gregoriou, G. N. (2003) "Performance appraisal of hedge funds using data envelopment analysis" Journal of Wealth Management, 88-95.
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    • Gregoriou, G.N.1
  • 10
    • 51349130322 scopus 로고    scopus 로고
    • Data envelopment analysis of Morningstar's large-cap mutual funds
    • Winter
    • Haslem, J. A., and C. A. Scheraga (2003) "Data envelopment analysis of Morningstar's large-cap mutual funds" Journal of Investing Winter, 41-48.
    • (2003) Journal of Investing , pp. 41-48
    • Haslem, J.A.1    Scheraga, C.A.2
  • 11
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, H. (1952) "Portfolio selection" Journal of Finance 7, 77-91.
    • (1952) Journal of Finance , vol.7 , pp. 77-91
    • Markowitz, H.1
  • 12
    • 0000314740 scopus 로고
    • Lifetime portfolio selection under uncertainty: The continuous-time case
    • Merton, R. (1969) "Lifetime portfolio selection under uncertainty: The continuous-time case" Review of Economics and Statistics 51, 247-257.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
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  • 13
    • 0033114747 scopus 로고    scopus 로고
    • Mutual fund performance appraisals: A multi-horizon perspective with endogenous benchmarking
    • Morey, M. R., and R. C. Morey (1999) "Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking" Omega 27, 241-258.
    • (1999) Omega , vol.27 , pp. 241-258
    • Morey, M.R.1    Morey, R.C.2
  • 14
    • 0344547293 scopus 로고    scopus 로고
    • Forecasting volatility in financial markets: A review
    • Poon, S. H., and C. W. J. Granger (2003) "Forecasting volatility in financial markets: a review" Journal of Economic Literature 41, 478-539.
    • (2003) Journal of Economic Literature , vol.41 , pp. 478-539
    • Poon, S.H.1    Granger, C.W.J.2
  • 15
    • 38949181414 scopus 로고    scopus 로고
    • Using data envelopment analysis to select efficient large market cap securities
    • Powers, J., and P. R. McMullen (2000) "Using data envelopment analysis to select efficient large market cap securities" Journal of Business and Management 7, 31-42.
    • (2000) Journal of Business and Management , vol.7 , pp. 31-42
    • Powers, J.1    McMullen, P.R.2
  • 16
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    • Lifetime portfolio selection by dynamic stochastic programming
    • Samuelson, P. A. (1969) "Lifetime portfolio selection by dynamic stochastic programming" Review of Economics and Statistics 51, 239-246.
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.