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International Journal of Production Research Volume 49, 2011 - Issue 23
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Technical Note

Value-at-risk and data envelopment analysis: comments on Wu and Olson (Citation2010)

Guiwu Wei Research Center for Contemporary Management, Key Research Institute of Humanities and Social Sciences at Universities, School of Economics and Management, Tsinghua University, Beijing 100084, P.R. China
&
Jiamin Wang College of Management, Long Island University, – C. W. Post Campus, 720 Northern Boulevard, Brookville, NY 11548, USACorrespondence[email protected]
Pages 7189-7193 | Received 18 Aug 2010, Accepted 15 Feb 2011, Published online: 12 Apr 2011

References

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  • Cooper , WW , Huang , Z and Li , S . 2004 . “ Chance constrained DEA ” . In Handbook on Data Envelopment Analysis , Edited by: Cooper , W.W. , Seiford , L.M. and Zhu , J. 229 – 264 . Boston : Kluwer .
  • Jorion , P . 2007 . Value-at-risk: the new benchmark for controlling market risk , 3rd , New York, NY : Irwin .
  • Larsen , N , Mausser , H and Uryasev , S . 2001 . “ Algorithms for optimization of value-at-risk ” . In Financial engineering, E-commerce and supply chain , Edited by: Padlos , P.M. and Tsitsiringos , V.K. 19 – 46 . Boston, MA : Kluwer .
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  • Wu , DD and Olson , D . 2010 . Enterprise risk management: a DEA VaR approach in vendor selection . International Journal of Production Research , 48 ( 16 ) : 4919 – 4932 .

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