Risk-aversion in data envelopment analysis models with diversification

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Risk-aversion in data envelopment analysis models with diversification

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Risk-aversion in data envelopment analysis models with diversification

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

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

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Omega

ISSN

0305-0483

e-ISSN

—

Svazek periodika

102

Číslo periodika v rámci svazku

červenec 2021

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

15

Strana od-do

102338

Kód UT WoS článku

000640926400016

EID výsledku v databázi Scopus

2-s2.0-85091220085