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...
Tallennettuna:
| Päätekijät: | , , |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
MDPI AG
2025-10-01
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| Sarja: | International Journal of Financial Studies |
| Aiheet: | |
| Linkit: | https://www.mdpi.com/2227-7072/13/4/192 |
| Tagit: |
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