Comparative analysis of two-dimensional data-driven efficient frontier estimation algorithms - Archive ouverte HAL Access content directly
Conference Papers Year : 2018

Comparative analysis of two-dimensional data-driven efficient frontier estimation algorithms

Abstract

In this paper we show how the mathematical apparatus developed originally in the field of econometrics and portfolio optimization can be utilized for purposes of conceptual design, requirements engineering and technology roadmapping. We compare popular frontier estimation models and propose an efficient and robust nonparametric estimation algorithm for twodimensional frontier approximation. The proposed model allows to relax the convexity assumptions and thus enable estimating a broader range of possible technology frontier shapes compared to the state of the art. Using simulated datasets we show how the accuracy and the robustness of alternative methods such as Data Envelopment Analysis and nonparametric and parametric statistical models depend on the size of the dataset and on the shape of the frontier.
Fichier principal
Vignette du fichier
Yuskevich_23825.pdf (1.14 Mo) Télécharger le fichier
Origin Files produced by the author(s)
Loading...

Dates and versions

hal-02127499 , version 1 (13-05-2019)

Identifiers

  • HAL Id : hal-02127499 , version 1
  • OATAO : 23825

Cite

Ilya Yuskevich, Rob A. Vingerhoeds, Alessandro Golkar. Comparative analysis of two-dimensional data-driven efficient frontier estimation algorithms. 2018 IEEE International Systems Engineering Symposium (ISSE), Oct 2018, Rome, Italy. pp.1-6. ⟨hal-02127499⟩
13 View
42 Download

Share

Gmail Mastodon Facebook X LinkedIn More