From stochastic dominance to DEA-risk models: portfolio efficiency analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10124547" target="_blank" >RIV/00216208:11320/12:10124547 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.moksloperiodika.lt/STOPROG_2012/abstract/003.html" target="_blank" >http://www.moksloperiodika.lt/STOPROG_2012/abstract/003.html</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5200/stoprog.2012.03" target="_blank" >10.5200/stoprog.2012.03</a>

Jazyk výsledku

angličtina

Název v původním jazyce

From stochastic dominance to DEA-risk models: portfolio efficiency analysis

Popis výsledku v původním jazyce

We compare several approaches to portfolio efficiency based either on Data Envelopment Analysis (DEA) or stochastic dominance relations. In the DEA methodology, the efficiency score is defined as a weighted sum of outputs compared to a weighted sum of inputs when optimal weights are used. In our DEA-risk efficiency models, several risk measures and functionals which quantify risk of the portfolios are used as the inputs. Mean return is considered as the only DEA output. Moreover, we consider models withconstant return to scale (CRS), variable return to scale (VRS) as well as diversification consistent (DC) DEA models. Using stochastic dominance criteria, we test three different efficiency classifications: pair-wise stochastic dominance efficiency, convex stochastic dominance efficiency and stochastic dominance portfolio efficiency. Since we consider only risk averse decision makers, we focus on second-order stochastic dominance (SSD). In the empirical application, we test the efficien

Název v anglickém jazyce

From stochastic dominance to DEA-risk models: portfolio efficiency analysis

Popis výsledku anglicky

We compare several approaches to portfolio efficiency based either on Data Envelopment Analysis (DEA) or stochastic dominance relations. In the DEA methodology, the efficiency score is defined as a weighted sum of outputs compared to a weighted sum of inputs when optimal weights are used. In our DEA-risk efficiency models, several risk measures and functionals which quantify risk of the portfolios are used as the inputs. Mean return is considered as the only DEA output. Moreover, we consider models withconstant return to scale (CRS), variable return to scale (VRS) as well as diversification consistent (DC) DEA models. Using stochastic dominance criteria, we test three different efficiency classifications: pair-wise stochastic dominance efficiency, convex stochastic dominance efficiency and stochastic dominance portfolio efficiency. Since we consider only risk averse decision makers, we focus on second-order stochastic dominance (SSD). In the empirical application, we test the efficien

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

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

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the International Workshop on Stochastic Programming for Implementation and Advanced Applications

ISBN

978-609-95241-4-6

ISSN

—

e-ISSN

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Počet stran výsledku

6

Strana od-do

13-18

Název nakladatele

The Association of Lithuanian Serials

Místo vydání

Vilnius, Lithuania

Místo konání akce

Neringa, Lithuania

Datum konání akce

3. 7. 2012

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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