{"id":"https://openalex.org/W1806548812","doi":"https://doi.org/10.1007/s10288-015-0296-5","title":"Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour","display_name":"Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour","publication_year":2015,"publication_date":"2015-08-28","ids":{"openalex":"https://openalex.org/W1806548812","doi":"https://doi.org/10.1007/s10288-015-0296-5","mag":"1806548812"},"language":"en","primary_location":{"id":"doi:10.1007/s10288-015-0296-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10288-015-0296-5","pdf_url":null,"source":{"id":"https://openalex.org/S4210191715","display_name":"4OR","issn_l":"1614-2411","issn":["1614-2411","1619-4500"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"4OR","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087096032","display_name":"Martin Branda","orcid":"https://orcid.org/0000-0002-6519-1608"},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":true,"raw_author_name":"Martin Branda","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovsk\u00e1 83, 186 75, Prague, Czech Republic","Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics Charles University in Prague Prague Czech Republic"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Sokolovsk\u00e1 83, 186 75, Prague, Czech Republic","institution_ids":["https://openalex.org/I21250087"]},{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics Charles University in Prague Prague Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5087096032"],"corresponding_institution_ids":["https://openalex.org/I21250087"],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":1.8265,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.86280269,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"14","issue":"1","first_page":"77","last_page":"99"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10357","display_name":"Efficiency Analysis Using DEA","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10357","display_name":"Efficiency Analysis Using DEA","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9958000183105469,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9883000254631042,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/data-envelopment-analysis","display_name":"Data envelopment analysis","score":0.7449249625205994},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6561231017112732},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.6317866444587708},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.5733058452606201},{"id":"https://openalex.org/keywords/jackknife-resampling","display_name":"Jackknife resampling","score":0.5231574773788452},{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.5035650134086609},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4849962890148163},{"id":"https://openalex.org/keywords/risk-measure","display_name":"Risk measure","score":0.47105881571769714},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4595898389816284},{"id":"https://openalex.org/keywords/empirical-distribution-function","display_name":"Empirical distribution function","score":0.4135409891605377},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.37524065375328064},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.297921359539032},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.29093483090400696},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.274419367313385},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2409798502922058},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.19711008667945862},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11429265141487122},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.08721715211868286}],"concepts":[{"id":"https://openalex.org/C22088475","wikidata":"https://www.wikidata.org/wiki/Q647974","display_name":"Data envelopment analysis","level":2,"score":0.7449249625205994},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6561231017112732},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.6317866444587708},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.5733058452606201},{"id":"https://openalex.org/C81790035","wikidata":"https://www.wikidata.org/wiki/Q847158","display_name":"Jackknife resampling","level":3,"score":0.5231574773788452},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.5035650134086609},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4849962890148163},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.47105881571769714},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4595898389816284},{"id":"https://openalex.org/C98385598","wikidata":"https://www.wikidata.org/wiki/Q1339385","display_name":"Empirical distribution function","level":2,"score":0.4135409891605377},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37524065375328064},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.297921359539032},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.29093483090400696},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.274419367313385},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2409798502922058},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.19711008667945862},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11429265141487122},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.08721715211868286},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10288-015-0296-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10288-015-0296-5","pdf_url":null,"source":{"id":"https://openalex.org/S4210191715","display_name":"4OR","issn_l":"1614-2411","issn":["1614-2411","1619-4500"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"4OR","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:aqjoor:v:14:y:2016:i:1:d:10.1007_s10288-015-0296-5","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10288-015-0296-5","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4099999964237213,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"awards":[{"id":"https://openalex.org/G1990896600","display_name":null,"funder_award_id":"P402/12/G097","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"}],"funders":[{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":53,"referenced_works":["https://openalex.org/W579592231","https://openalex.org/W1507787960","https://openalex.org/W1515548803","https://openalex.org/W1528583266","https://openalex.org/W1541527977","https://openalex.org/W1592048869","https://openalex.org/W1984766746","https://openalex.org/W1986811111","https://openalex.org/W1993750010","https://openalex.org/W1995945562","https://openalex.org/W1997808314","https://openalex.org/W2002486343","https://openalex.org/W2003103662","https://openalex.org/W2007106598","https://openalex.org/W2008088727","https://openalex.org/W2011806243","https://openalex.org/W2013926956","https://openalex.org/W2016954961","https://openalex.org/W2019291268","https://openalex.org/W2023686146","https://openalex.org/W2030522578","https://openalex.org/W2034391927","https://openalex.org/W2044107117","https://openalex.org/W2047118926","https://openalex.org/W2047682100","https://openalex.org/W2047984360","https://openalex.org/W2050362459","https://openalex.org/W2050805317","https://openalex.org/W2054337887","https://openalex.org/W2062690962","https://openalex.org/W2064267606","https://openalex.org/W2066068791","https://openalex.org/W2073339390","https://openalex.org/W2076452041","https://openalex.org/W2079542821","https://openalex.org/W2088393085","https://openalex.org/W2090884100","https://openalex.org/W2094490698","https://openalex.org/W2097173585","https://openalex.org/W2099506495","https://openalex.org/W2100186521","https://openalex.org/W2116731530","https://openalex.org/W2117897510","https://openalex.org/W2129763896","https://openalex.org/W2143514150","https://openalex.org/W2172074964","https://openalex.org/W2296319761","https://openalex.org/W2506753585","https://openalex.org/W3106889297","https://openalex.org/W3122167364","https://openalex.org/W3124407081","https://openalex.org/W4247165901","https://openalex.org/W4250589301"],"related_works":["https://openalex.org/W799577184","https://openalex.org/W2288150746","https://openalex.org/W4301377905","https://openalex.org/W2950198523","https://openalex.org/W2408851247","https://openalex.org/W3121825436","https://openalex.org/W2031780815","https://openalex.org/W4293714866","https://openalex.org/W2895316051","https://openalex.org/W1543674353"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":6},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2025-10-10T00:00:00"}