DEA-risk models with Value at Risk inputs

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10312550" target="_blank" >RIV/00216208:11320/15:10312550 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
DEA-risk models with Value at Risk inputs
Original language description
DEA-risk models with diversification are suitable for accessing efficiency of investment opportunities available on financial markets. One of the most important properties of these models is that the optimal solutions correspond to efficient investment opportunities, thus can be used by investors to revise their inefficient portfolios. We focus on DEA models where Value at Risk serves as an input and we enable short sales under margin requirements. We discuss possible reformulations necessary to solve the resulting model. The approach is demonstrated on real data from US stock market.
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
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 33rd International Conference on Mathematical Methods in Economics 2015
ISBN
978-80-261-0539-8
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
68-73
Publisher name
University of West Bohemia
Place of publication
Plzeň
Event location
Cheb, Czech Republic
Event date
Sep 9, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—

Similar results(10)