Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance

We introduce methods to apply stochastic frontier analysis (SFA) to financial assets as an alternative to data envelopment analysis, because SFA allows us to fit a frontier with noisy data. In contrast to conventional SFA, we wish to deal with estimation risk, heteroscedasticity in noise and ineffic...

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Bibliographic Details
Main Authors: John D. Lamb, Kai-Hong Tee
Format: Default Article
Published: 2023
Subjects:
Stochastic frontier analysis
Estimation risk
Shrinkage estimators
Residual plot
Measurement error
Data envelopment analysis
Online Access:https://hdl.handle.net/2134/23532306.v1
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