DEA-risk efficiency of stock indices
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F10%3A10051861" target="_blank" >RIV/00216208:11320/10:10051861 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
DEA-risk efficiency of stock indices
Original language description
The paper compares two efficiency approaches: Data Envelopment Analysis (DEA) and Second Order Stochastic Dominance (SSD) efficiency. As DEA inputs, we use several risk measures and functionals which quantify a risk of the indices. As the only DEA output, expected return is considered. Using Second Order Stochastic Dominance criteria, we test pairwise efficiency as well as portfolio efficiency allowing full diversification across the assets.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
—
Result continuities
Project
<a href="/en/project/GAP402%2F10%2F1610" target="_blank" >GAP402/10/1610: Rational Decision Making at Markets with Asynchronous Trading: Theory and Emprical Evidence</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of 47th EWGFM meeting
ISBN
978-80-248-2351-5
ISSN
—
e-ISSN
—
Number of pages
10
Pages from-to
—
Publisher name
VŠB - Technical university of Ostrava
Place of publication
Ostrava
Event location
Praha
Event date
Oct 28, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—