Sample approximation techniques for DEA-risk efficiency tests

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10281187" target="_blank" >RIV/00216208:11320/14:10281187 - isvavai.cz</a>

Výsledek na webu

<a href="http://mme2014.upol.cz/conference-proceedings" target="_blank" >http://mme2014.upol.cz/conference-proceedings</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Sample approximation techniques for DEA-risk efficiency tests

Popis výsledku v původním jazyce

The new class of data envelopment analysis (DEA) models with diversication suitable for nancial applications has gained a special attention in recent years. These models take into account possible dependencies between the considered asset returns which were not considered by the standard DEA models. Several solution methods have been proposed for the resulting nonlinear problems, however, these methods are restricted to discrete distributions only. In this paper, we consider a multivariate continuous distribution of the random returns and use the sample approximation technique to solve the DEA problems approximately. We focus on the quality of the approximation. Moreover, we introduce a one-step procedure where inputs for a benchmark need not to be computed before solving the DEA model. The new methods are applied to access eciency of selected assets from US stock market.

Název v anglickém jazyce

Sample approximation techniques for DEA-risk efficiency tests

Popis výsledku anglicky

The new class of data envelopment analysis (DEA) models with diversication suitable for nancial applications has gained a special attention in recent years. These models take into account possible dependencies between the considered asset returns which were not considered by the standard DEA models. Several solution methods have been proposed for the resulting nonlinear problems, however, these methods are restricted to discrete distributions only. In this paper, we consider a multivariate continuous distribution of the random returns and use the sample approximation technique to solve the DEA problems approximately. We focus on the quality of the approximation. Moreover, we introduce a one-step procedure where inputs for a benchmark need not to be computed before solving the DEA model. The new methods are applied to access eciency of selected assets from US stock market.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GP13-03749P" target="_blank" >GP13-03749P: Testy eficience investičních příležitostí</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 32nd International Conference on Mathematical Methods in Economics 2014

ISBN

978-80-244-4209-9

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

55-60

Název nakladatele

Palacký University

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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