Portfolio optimization by synthesis of cross efficiency and Game theory
Portfolio optimization problem is one of the most important investment problems. Most of the mathematical models, presented for solving this problem are based on historical returns of stocks. Utilizing cross efficiencies, calculated by data envelopment analysis models, instead of historical returns,...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2017-02-01
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| Series: | مدیریت صنعتی |
| Subjects: | |
| Online Access: | https://imj.ut.ac.ir/article_60163_8f335b77988b5af7d4debf56bd655f79.pdf |