On relations between DEA-risk models and stochastic dominance efficiency tests

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10126831" target="_blank" >RIV/00216208:11320/14:10126831 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s10100-012-0283-2" target="_blank" >http://dx.doi.org/10.1007/s10100-012-0283-2</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10100-012-0283-2" target="_blank" >10.1007/s10100-012-0283-2</a>

Result language
angličtina
Original language name
On relations between DEA-risk models and stochastic dominance efficiency tests
Original language description
In this paper, several concepts of portfolio efficiency testing are compared, based either on data envelopment analysis (DEA) or the second-order stochastic dominance (SSD) relation: constant return to scale DEA models, variable return to scale (VRS) DEAmodels, diversification-consistent DEA models, pairwise SSD efficiency tests, convex SSD efficiency tests and full SSD portfolio efficiency tests. Especially, the equivalence between VRS DEA model with binary weights and the SSD pairwise efficiency testis proved. DEA models equivalent to convex SSD efficiency tests and full SSD portfolio efficiency tests are also formulated. In the empirical application, the efficiency testing of 48 US representative industry portfolios using all considered DEA modelsand SSD tests is presented.
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
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

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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