Diversification-consistent data envelopment analysis with general deviation measures

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10125740" target="_blank" >RIV/00216208:11320/13:10125740 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S0377221712008235" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0377221712008235</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ejor.2012.11.007" target="_blank" >10.1016/j.ejor.2012.11.007</a>

Result language
angličtina
Original language name
Diversification-consistent data envelopment analysis with general deviation measures
Original language description
We propose new efficiency tests which are based on traditional DEA models and take into account portfolio diversification. The goal is to identify the investment opportunities that perform well without specifying our attitude to risk. We use general deviation measures as the inputs and return measures as the outputs. We discuss the choice of the set of investment opportunities including portfolios with limited number of assets. We compare the optimal values of all proposed tests leading to the relationsbetween the sets of efficient opportunities. Strength of the tests is then discussed. We test the efficiency of 25 world financial indices using new DEA models with CVaR deviation measures.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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