Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10323557" target="_blank" >RIV/00216208:11320/16:10323557 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1007/s10288-015-0296-5" target="_blank" >http://dx.doi.org/10.1007/s10288-015-0296-5</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10288-015-0296-5" target="_blank" >10.1007/s10288-015-0296-5</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

Popis výsledku v původním jazyce

We deal with the problem of an investor who is using a mean-risk model for accessing efficiency of investment opportunities. Our investor employs value at risk on several risk levels at the same time which corresponds to the approach called risk shaping. We review several data envelopment analysis (DEA) models which can deal with negative data. We show that a diversification-consistent extension of the DEA models based on a directional distance measure can be used to identify the Pareto-Koopmans efficient investment opportunities. We derive reformulations as chance constrained, nonlinear and mixed-integer problems under particular assumptions. In the numerical study, we access efficiency of US industry representative portfolios based on empirical distribution of random returns. We employ bootstrap and jackknife to investigate the empirical properties of the efficiency estimators.

Název v anglickém jazyce

Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

Popis výsledku anglicky

We deal with the problem of an investor who is using a mean-risk model for accessing efficiency of investment opportunities. Our investor employs value at risk on several risk levels at the same time which corresponds to the approach called risk shaping. We review several data envelopment analysis (DEA) models which can deal with negative data. We show that a diversification-consistent extension of the DEA models based on a directional distance measure can be used to identify the Pareto-Koopmans efficient investment opportunities. We derive reformulations as chance constrained, nonlinear and mixed-integer problems under particular assumptions. In the numerical study, we access efficiency of US industry representative portfolios based on empirical distribution of random returns. We employ bootstrap and jackknife to investigate the empirical properties of the efficiency estimators.

Druh

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

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

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

2016

Kód důvěrnosti údajů

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

Název periodika

4OR

ISSN

1619-4500

e-ISSN

—

Svazek periodika

14

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

23

Strana od-do

77-99

Kód UT WoS článku

000371043600004

EID výsledku v databázi Scopus

2-s2.0-84959091798