An approach to DEA-superefficiency in finance

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10145676" target="_blank" >RIV/00216208:11320/13:10145676 - isvavai.cz</a>
Result on the web
<a href="http://www.ekf.vsb.cz/frpfi/en/Conference_proceedings/" target="_blank" >http://www.ekf.vsb.cz/frpfi/en/Conference_proceedings/</a>
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
An approach to DEA-superefficiency in finance
Original language description
We deal with a problem of identifying efficient investment opportunities on financial markets. We access efficiency using mean-risk profile of the considered opportunities and show that Data Envelopment Analysis (DEA) can be useful tool for this purpose.We propose a way how to sort the efficient investment opportunities, which is known as superefficiency approach from the DEA literature. We show that our method is related to the traditional mean-risk efficiency based on multiobjective optimization principles. In the numerical study, we access efficiency and superefficiency of representative US industry stock portfolios.
Czech name
—
Czech description
—

Project
<a href="/en/project/GP13-03749P" target="_blank" >GP13-03749P: Efficiency tests for investment opportunities</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

Article name in the collection
Financial management of firms and financial institutions
ISBN
978-80-248-3172-5
ISSN
2336-162X
e-ISSN
—
Number of pages
7
Pages from-to
88-94
Publisher name
VŠB-Technical university of Ostrava, Faculty of Economics, Finance department
Place of publication
Ostrava, Czech Republic
Event location
Ostrava, Czech Republic
Event date
Sep 9, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—

Similar results(10)