Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10139269" target="_blank" >RIV/00216208:11320/13:10139269 - isvavai.cz</a>
Result on the web
<a href="https://mme2013.vspj.cz/about-conference/conference-proceedings" target="_blank" >https://mme2013.vspj.cz/about-conference/conference-proceedings</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison
Original language description
We propose numerically tractable formulations of the diversification-consistent DEA tests, which generalize traditional DEA tests as well as mean-risk models. We employ general deviation measures to measure risk of the investment opportunities. We will compare strength of the tests and give characterizations of efficient and inefficient investment opportunities. US industry representative portfolios will be ranked using the proposed DEA tests.
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
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2013
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 31st International Conference on Mathematical Methods in Economics 2013
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
77-82
Publisher name
College of Polytechnics, Jihlava, Czech Republic
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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