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Risk-aversion in data envelopment analysis models with diversification

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10429975" target="_blank" >RIV/00216208:11320/21:10429975 - isvavai.cz</a>

  • Result on the web

    <a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=JI2hS-QOoI" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=JI2hS-QOoI</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.omega.2020.102338" target="_blank" >10.1016/j.omega.2020.102338</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Risk-aversion in data envelopment analysis models with diversification

  • Original language description

    We deal with data envelopment analysis models with diversification which can identify investment op-portunities efficient with respect to several inputs and outputs represented by risk and return measures. Moreover, they enable to project the inefficient investment opportunity to the efficient frontier and sug-gest how to revise its structure. However, the current DEA models does not take into account the individ-ual risk aversion of a particular investor. We will introduce several approaches based on the spectral risk measures which deal with this drawback. These approaches are then compared in the empirical study. Note that all considered models as well as risk aversion are consistent with the second order stochastic dominance. (c) 2020 Elsevier Ltd. All rights reserved.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    10103 - Statistics and probability

Result continuities

  • Project

    <a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>

  • Continuities

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

Others

  • Publication year

    2021

  • 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

  • Volume of the periodical

    102

  • Issue of the periodical within the volume

    červenec 2021

  • Country of publishing house

    GB - UNITED KINGDOM

  • Number of pages

    15

  • Pages from-to

    102338

  • UT code for WoS article

    000640926400016

  • EID of the result in the Scopus database

    2-s2.0-85091220085