Inverse DEA for Portfolio Volatility Targeting: Industry Evidence from Taiwan Stock Exchange
This work develops an inverse data envelopment analysis (Inverse DEA) framework for portfolio optimization, treating return as a desirable output and volatility as an undesirable output. Using 20 industry-level portfolios from the Taiwan Stock Exchange (1365 stocks; FY-2020), we first evaluate effic...
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| Hoofdauteurs: | , , |
|---|---|
| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
MDPI AG
2025-10-01
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| Reeks: | International Journal of Financial Studies |
| Onderwerpen: | |
| Online toegang: | https://www.mdpi.com/2227-7072/13/4/192 |
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