Financial Applications (Applications of Management Science)

Cover\r......Page 1
Financial Modeling Applications and Data Envelopment Applications......Page 4
Copyright page......Page 5
Contents......Page 6
List of contributors......Page 10
Editorial board......Page 12
Section A: Financial Applications Papers......Page 14
Lexicographic and weighting approach to multi-criteria portfolio optimization by mixed integer programming......Page 16
Introduction......Page 17
Lexicographic and weighting approach......Page 19
Optimization models......Page 21
Computational results......Page 24
Conclusions......Page 29
References......Page 30
Extreme mean-variance solutions: Estimation error versus modeling error......Page 32
1. Introduction......Page 33
2. The MV model......Page 35
4. Four estimators of the means......Page 38
5. Results for the 1934-1999 period......Page 40
6. Results for the fourth quarter of 1984......Page 52
7. Summary and conclusions......Page 58
Notes......Page 59
References......Page 61
Introduction......Page 66
Black and Litterman model......Page 67
Fuzzy goal programming (with triangular membership function)......Page 69
Fuzzy goal programming (with trapezoidal membership function)......Page 70
References......Page 72
Introduction......Page 74
Logistic regression......Page 76
Data and results......Page 78
Conclusions......Page 80
References......Page 81
A multi-criteria decision model for fixed income sector allocation for endowment funds......Page 84
1. Introduction......Page 85
2. The sector allocation decision and the analytical hierarchy process......Page 87
3. An application of AHP to the fixed income allocation decision......Page 88
4. Model validation......Page 96
References......Page 97
Section B: Data Envelopment Analysis (Dea) Applications I......Page 100
Recovering from delays: An analysis of airport operations using data envelopment analysis......Page 102
1. Introduction......Page 103
2. Airport performance......Page 105
3. Model......Page 108
4. Case......Page 112
5. Discussion......Page 114
6. Concluding remarks and future research......Page 123
References......Page 124
Using data envelopment analysis to analyze the performance of North American class I freight railroads......Page 126
1. Introduction......Page 127
2. Literature review......Page 129
3. Data and methodology......Page 130
4. Empirical analysis......Page 134
5. Summary and conclusions......Page 139
Notes......Page 142
References......Page 143
Using regression and Data Envelopment Analysis (DEA) to forecast bank performance over time......Page 146
Introduction......Page 147
Data envelopment analysis......Page 148
Regression forecasting methodology......Page 150
Example......Page 152
Conclusions......Page 154
References......Page 155
Creating an index of vulnerability to severe coastal storms along the North Shore of Boston......Page 156
Introduction......Page 157
Background of the case study area......Page 159
Measures of vulnerability......Page 162
Constructing an index for comparisons of vulnerability......Page 164
Results of the analysis using census data......Page 179
Conclusions......Page 185
References......Page 186
Appendix A. Sources of information......Page 190
Section C: Data Envelopment Analysis (Dea) Applications II......Page 192
Performance evaluation of universities from the students’ perspective......Page 194
1. Introduction......Page 195
2. Methods......Page 197
3. Application and results......Page 203
4. Conclusion and further research......Page 209
References......Page 210
Assessment of implication of competitiveness on human development of countries through data envelopment analysis and cluster analysis......Page 212
1. Introduction......Page 213
2. Measuring the Performance of Nations......Page 214
3. Framework of the proposed methodology......Page 218
4. Evaluation of selected countries based on data envelopment analysis......Page 223
5. Clustering based on WEF and HDI indicators......Page 226
6. Conclusions and further suggestions......Page 235
References......Page 236
Rich and poor in Saint Louis: Performance characteristics of public schools using a Data Envelopment Analysis approach......Page 240
1. Introduction......Page 241
2. Performance environment......Page 242
3. Model background and development......Page 245
4. Model analysis and discussion......Page 250
5. Concluding remarks......Page 257
References......Page 258
Sustainability assessment of venture business firms using data envelopment analysis......Page 260
1. Introduction......Page 261
2. Data envelopment analysis......Page 262
3. Data background and model development......Page 264
4. Model analysis and discussion......Page 267
References......Page 271
Appendix. Full names of decision-making units (DMUs)......Page 273
Determining the relative efficiency of gynecological departments using DEA......Page 274
2. Using DEA to determine relative efficiency......Page 275
3. Other methods of determining efficiency......Page 277
4. Applications of DEA to the health care industry......Page 279
5. Results and analysis of evaluating the relative efficiency of gynecological departments......Page 280
6. Conclusions......Page 284
References......Page 285