Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10323557" target="_blank" >RIV/00216208:11320/16:10323557 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1007/s10288-015-0296-5" target="_blank" >http://dx.doi.org/10.1007/s10288-015-0296-5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10288-015-0296-5" target="_blank" >10.1007/s10288-015-0296-5</a>

Result language

angličtina

Original language name

Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

Original language description

We deal with the problem of an investor who is using a mean-risk model for accessing efficiency of investment opportunities. Our investor employs value at risk on several risk levels at the same time which corresponds to the approach called risk shaping. We review several data envelopment analysis (DEA) models which can deal with negative data. We show that a diversification-consistent extension of the DEA models based on a directional distance measure can be used to identify the Pareto-Koopmans efficient investment opportunities. We derive reformulations as chance constrained, nonlinear and mixed-integer problems under particular assumptions. In the numerical study, we access efficiency of US industry representative portfolios based on empirical distribution of random returns. We employ bootstrap and jackknife to investigate the empirical properties of the efficiency estimators.

Czech name

—

Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

4OR

ISSN

1619-4500

e-ISSN

—

Volume of the periodical

14

Issue of the periodical within the volume

1

Country of publishing house

DE - GERMANY

Number of pages

23

Pages from-to

77-99

UT code for WoS article

000371043600004

EID of the result in the Scopus database

2-s2.0-84959091798