In the use of peer group data to assess individual, typical or best practice performance, the effective detection of outliers is critical for achieving useful results, particularly for two-stage analyses. In the DEA-related literature, prior work on this issue has focused on the efficient frontier as a basis for detecting outliers. An iterative approach to deal with the potential for one outlie...

We study the efficient frontier problem of maximizing the expected utility of terminal wealth and minimizing the conditional VaR of the utility loss. We establish the existence of the optimal solution with the dual analysis and find the optimal value with the sequential penalty function and viscosity solution method.

In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

One of the major problems in Data Envelopment Analysis (DEA) is to determine the projection of inefficient Decision Making Units (DMUs) into the efficient frontier. In conventional DEA models, inputs and outputs of inefficient DMUs alter arbitrarily for reaching to the efficient frontier. Nevertheless, sometimes the ability of DMUs is defined and restricted. Moreover, there are situations in th...

Among all aspects of IT Portfolio Management (ITPM), we find the key concept of efficient frontier to be the most applicable illustration for managing IT resources as multiple heterogeneous IT portfolios. To better assist decision-makers (e.g., senior executives) in selecting the most qualified IT portfolio choice, we propose a new IT Portfolio Efficient Frontier model that incorporates decisio...

the problem of utilizing undesirable (bad) outputs in dea models often need replacing the assumption of free disposability of outputs by weak disposability of outputs. the kuosmanen technology is the only correct representation of the fully convex technology exhibiting weak disposability of bad and good outputs. also, there are some specific features of non-radial data envelopment analysis (dea...

in this paper after a general literature review on the concept of efficient frontier (ef), an important inadequacy of the variance based models for deriving efs and the high necessity for applying another risk measure is exemplified. in this regard for this study the risk measure of lower partial moment of the first order is decided to replace variance. because of the particular shape of the pr...

This paper studies the time-consistent investment strategy for a defined contribution (DC) pension plan under the mean–variance criterion. Since the time horizon of a pension fund management problem is relatively long, two background risks are taken into account: the inflation risk and the salary risk. Meanwhile, there are a risk-free asset, a stock and an inflation-indexed bond available in th...

Groundwater management in China has been facing challenges from both climate change and urbanization and is considered as a national priority nowadays. However, unprecedented uncertainty exists in future scenarios making it difficult to formulate management planning paradigms. In this paper, we apply modern portfolio theory (MPT) to formulate an optimal stage investment of groundwater contamina...