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
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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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
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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