A New Clusterless DEA Cross-Efficiency Evaluation in the Presence of Negative Data and its Application in Portfolio Selection

[1] T.R. Sexton, R.H. Silkman, and A.J. Hogan, “Data envelopment analysis: Critique and extensions”, New directions for program evaluation, 1986, 32, 73-105.

[2]  J. Doyle, R. Green, “Efficiency and cross-efficiency in DEA: Derivations, meanings and uses. Journal of the Operational Research Society, 1994, 45, 567-578.

[3] J. Wu, J. Sun, and L. Liang, “Methods and applications of DEA cross-efficiency: Review and future perspectives”, Frontiers of Engineering Management,2021 8(2), 199-211.

[4] M. Wu, X. Hou, and J.  Fan, “Improvement of cross-efficiency based on the TODIM method”, Soft Computing, 2022, 26(17), 8427-8439.

[5] M. Davtalab-Olyaie, and M. Asgharian, “On Pareto-optimality in the cross-efficiency evaluation” European Journal of Operational Research, 2021, 288(1), 247-257.

[6] A. Charnes, W.W. Cooper, and E. Rhodes, “Measuring the efficiency of decision-making units”, European journal of operational research, 1978, 2(6), 429-444.

[7] M.S. Portela, E. Thanassoulis, and G. Simpson, “Negative data in DEA: A directional distance approach applied to bank branches”, Journal of the Operational Research Society, 2004,55, 1111-1121.

[8] R. Lin, “Cross-efficiency evaluation capable of dealing with negative data: A directional distance function-based approach”, Journal of the Operational Research Society,2020, 71(3), 505-516.

[9] M. Soltanifar, and H. Sharafi, H “A modified DEA cross-efficiency method with negative data and its application in supplier selection”, Journal of Combinatorial Optimization, 2022,43(1), 265-296.

[10] L. Chen, Y. M. Wang, and Y. Huang, "Cross-efficiency aggregation method based on the prospect consensus process", Annals of Operations Research, 2020,288(1), 115-135. 

[11] X. Chen, X.Liu, Q. Zhu, and Z. Wang. "DEA cross-efficiency models with prospect theory and distance entropy: An empirical study on high-tech industries." Expert Systems with Applications, 2024, 244,122941.

[12] C. Kao, and S.T., Liu, 2020. "A slacks-based measure model for calculating cross efficiency in data envelopment analysis", Omega,2020 95, p.102192.

[13] S. Lim, K.W. Oh, and J. Zhu, “Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market", European Journal of operational research, 2014,236(1), 361-368.

[14] X. Gong, C. Yu, L. Min, and Z. Ge, "Regret theory-based fuzzy multi-objective portfolio selection model involving DEA cross-efficiency and higher moments", Applied Soft Computing, 2021, 100, 106958.

[15] G.R. Amin, and M. Hajjami "Improving DEA cross-efficiency optimization in portfolio selection", Expert Systems with Applications, 2021,168, 114280.

[16] R. Kumari, A. Aggarwal, A. Gupta. "Cross-efficiency aggregation by ordered visibility graph averaging: method, and application in portfolio selection" IMA Journal of Management Mathematics, 2025 Jan;36(1):83-110.

[17] S. Srivastava, A. Aggarwal, and P. Bansal, “Efficiency evaluation of assets and optimal portfolio generation by cross-efficiency and cumulative prospect theory”, Computational Economics, 2024,63(1), 129-158. 

[18] X. Deng, and W. Fang, “A novel mean-variance-maverick DEA prospect cross-efficiency approach for fuzzy portfolio selection”, Journal of Intelligent & Fuzzy Systems, 2019,37(6), 8113-8130.

[19] S. Banihashemi, and M. Sanei, “Cross efficiency evaluation with negative data in selecting the best of a portfolio using OWA operator weights”, Int J Data Envel Anal. 2015, 3, 633-651.

[20] Kumari, R., Gupta, A., & Aggarwal, A. “Stock assessment using cumulative prospect theory in DEA cross-efficiency model: A case study of the Indian stock market” Croatian Operational Research Review, 2024, 15(1), 1-11.

[21] G.R. Amin, and A. Oukil, “Gangless cross-evaluation in DEA: an application to stock selection”, RAIRO-Operations Research, 2019 53(2), 645-655.

[22] J.A. Sharp, W. Meng & W. Liu, "A modified slacks-based measure model for data envelopment analysis with ‘natural’negative outputs and inputs", Journal of the Operational Research Society, 2007,58(12), 1672-1677.

[23] A. Emrouznejad, A.L. Anouze, & E. Thanassoulis, "A semi-oriented radial measure for measuring the efficiency of decision making units with negative data, using DEA", European journal of Operational Research, 2010, 200(1), 297-304.

[24] P.J. Rousseeuw, P. J., "Silhouettes: a graphical aid to the interpretation and validation of cluster analysis". Journal of computational and applied mathematics, 1987, 20, 53-65.

[25] D. Wu, “Robust decision support system for asset assessment and management”, IEEE Systems Journal, 11(3), 2016,1486-1491.

[26] Z. Mashayekhi, and H.Omrani “An integrated multi-objective Markowitz-DEA cross-efficiency model with fuzzy returns for portfolio selection problem”, Appl Soft Comput.,  2016, 38,1–9.

[27] W. Chen, S.S.,Li, J. Zhang, and M.K. Mehlawat, “A comprehensive model for fuzzy multi-objective portfolio selection based on the DEA cross-efficiency model”, Soft Computing, 2020,24, 2515-2526. 

[28] W. Chen, S.S. Li, M.K., Mehlawat, L. Jia, and A. Kumar, “Portfolio selection using data envelopment analysis cross-efficiency evaluation with undesirable fuzzy inputs and outputs”, International Journal of Fuzzy Systems, 2021,23, 1478-1509.