From stochastic dominance to DEA-risk models: portfolio efficiency analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124547" target="_blank" >RIV/00216208:11320/12:10124547 - isvavai.cz</a>
Result on the web
<a href="http://www.moksloperiodika.lt/STOPROG_2012/abstract/003.html" target="_blank" >http://www.moksloperiodika.lt/STOPROG_2012/abstract/003.html</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5200/stoprog.2012.03" target="_blank" >10.5200/stoprog.2012.03</a>
Alternative languages
Result language
angličtina
Original language name
From stochastic dominance to DEA-risk models: portfolio efficiency analysis
Original language description
We compare several approaches to portfolio efficiency based either on Data Envelopment Analysis (DEA) or stochastic dominance relations. In the DEA methodology, the efficiency score is defined as a weighted sum of outputs compared to a weighted sum of inputs when optimal weights are used. In our DEA-risk efficiency models, several risk measures and functionals which quantify risk of the portfolios are used as the inputs. Mean return is considered as the only DEA output. Moreover, we consider models withconstant return to scale (CRS), variable return to scale (VRS) as well as diversification consistent (DC) DEA models. Using stochastic dominance criteria, we test three different efficiency classifications: pair-wise stochastic dominance efficiency, convex stochastic dominance efficiency and stochastic dominance portfolio efficiency. Since we consider only risk averse decision makers, we focus on second-order stochastic dominance (SSD). In the empirical application, we test the efficien
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
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 the International Workshop on Stochastic Programming for Implementation and Advanced Applications
ISBN
978-609-95241-4-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
13-18
Publisher name
The Association of Lithuanian Serials
Place of publication
Vilnius, Lithuania
Event location
Neringa, Lithuania
Event date
Jul 3, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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