Diversification-consistent data envelopment analysis based on directional-distance measures
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10294854" target="_blank" >RIV/00216208:11320/15:10294854 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j?2014.11.004" target="_blank" >http://dx.doi.org/10.1016/j?2014.11.004</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.omega.2014.11.004" target="_blank" >10.1016/j.omega.2014.11.004</a>
Alternative languages
Result language
angličtina
Original language name
Diversification-consistent data envelopment analysis based on directional-distance measures
Original language description
We propose new diversification-consistent DEA models suitable for assessing efficiency of investment opportunities available on financial markets. The formulations based on directional distance measures enable to use several risk measures as inputs and return measures as outputs, which can take both positive and negative values. If we consider discretely distributed returns, we can prove that under proper choice of the inputs (CVaRs) and outputs (expected return), the strongest model is able to identifyefficient investment opportunities with respect to the second-order stochastic dominance. Moreover, the model can be formulated as a linear programming problem. In the numerical study, the proposed DEA models are applied to 48 representative industry portfolios from US stock markets.
Czech name
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Czech description
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Classification
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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Result continuities
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
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Omega
ISSN
0305-0483
e-ISSN
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Volume of the periodical
52
Issue of the periodical within the volume
Duben
Country of publishing house
GB - UNITED KINGDOM
Number of pages
12
Pages from-to
65-76
UT code for WoS article
000349586800006
EID of the result in the Scopus database
2-s2.0-84912056951