DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124545" target="_blank" >RIV/00216208:11320/12:10124545 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/12:00376757

Výsledek na webu

<a href="http://journal.fsv.cuni.cz/storage/1242_branda.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1242_branda.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices

Popis výsledku v původním jazyce

In this article, we deal with the efficiency of world stock indices. Basically, we compare three approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) efficiency. In the DEA methodology, efficiency is defined as a weightedsum of outputs compared to a weighted sum of inputs when optimal weights are used. In DEA-risk efficiency, several risk measures and functionals which quantify the risk of the indices (var, VaR, CVaR, etc.) as DEA inputs are used Mean gross return is considered as the only DEA output. When only one risk measure as the input and mean gross return as the output are considered, the DEA-risk efficiency is related to the mean-risk efficiency. We test the DEA-risk efficiency of 25 indices and we analyze thesensitivity of our results with respect to the selected inputs. Using stochastic dominance criteria, we test pairwise efficiency as well as portfolio efficiency, allowing full diversification across assets. While SD pairwise efficiency te

Název v anglickém jazyce

DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices

Popis výsledku anglicky

In this article, we deal with the efficiency of world stock indices. Basically, we compare three approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) efficiency. In the DEA methodology, efficiency is defined as a weightedsum of outputs compared to a weighted sum of inputs when optimal weights are used. In DEA-risk efficiency, several risk measures and functionals which quantify the risk of the indices (var, VaR, CVaR, etc.) as DEA inputs are used Mean gross return is considered as the only DEA output. When only one risk measure as the input and mean gross return as the output are considered, the DEA-risk efficiency is related to the mean-risk efficiency. We test the DEA-risk efficiency of 25 indices and we analyze thesensitivity of our results with respect to the selected inputs. Using stochastic dominance criteria, we test pairwise efficiency as well as portfolio efficiency, allowing full diversification across assets. While SD pairwise efficiency te

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název periodika

Finance a Uver

ISSN

0015-1920

e-ISSN

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Svazek periodika

62

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

19

Strana od-do

106-124

Kód UT WoS článku

000303969200002

EID výsledku v databázi Scopus

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