An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem

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Title
An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem
Authors
Keywords
Portfolio selection, Markowitz's mean–variance model, Data envelopment analysis (DEA), Fuzzy numbers, Non-dominated sorting genetic algorithm II (NSGA-II)
Journal
APPLIED SOFT COMPUTING
Volume 38, Issue -, Pages 1-9
Publisher
Elsevier BV
Online
2015-09-26
DOI
10.1016/j.asoc.2015.09.018

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