A mean-maverick game cross-efficiency approach to portfolio selection: An application to Paris stock exchange

作者：

Highlights：

• The game cross-efficiency approach is used in portfolio selection.

• The maverick index is considered as a consistent risk measure.

• Investor's preferences are considered by computing a single efficiency score.

• The selected portfolio beats all benchmark portfolios in the Paris Stock exchange.

摘要

•The game cross-efficiency approach is used in portfolio selection.•The maverick index is considered as a consistent risk measure.•Investor's preferences are considered by computing a single efficiency score.•The selected portfolio beats all benchmark portfolios in the Paris Stock exchange.

论文关键词：Data Envelopment Analysis (DEA),Portfolio selection,Game cross-efficiency,Measure of risk,Maverick index,Diversification

论文评审过程：Received 2 March 2018, Revised 27 May 2018, Accepted 16 June 2018, Available online 25 June 2018, Version of Record 7 July 2018.

论文官网地址：https://doi.org/10.1016/j.eswa.2018.06.040