DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124545" target="_blank" >RIV/00216208:11320/12:10124545 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/12:00376757

Result on the web

<a href="http://journal.fsv.cuni.cz/storage/1242_branda.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1242_branda.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices

Original language description

In this article, we deal with the efficiency of world stock indices. Basically, we compare three approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) efficiency. In the DEA methodology, efficiency is defined as a weightedsum of outputs compared to a weighted sum of inputs when optimal weights are used. In DEA-risk efficiency, several risk measures and functionals which quantify the risk of the indices (var, VaR, CVaR, etc.) as DEA inputs are used Mean gross return is considered as the only DEA output. When only one risk measure as the input and mean gross return as the output are considered, the DEA-risk efficiency is related to the mean-risk efficiency. We test the DEA-risk efficiency of 25 indices and we analyze thesensitivity of our results with respect to the selected inputs. Using stochastic dominance criteria, we test pairwise efficiency as well as portfolio efficiency, allowing full diversification across assets. While SD pairwise efficiency te

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Finance a Uver

ISSN

0015-1920

e-ISSN

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Volume of the periodical

62

Issue of the periodical within the volume

2

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

19

Pages from-to

106-124

UT code for WoS article

000303969200002

EID of the result in the Scopus database

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