Third-degree stochastic dominance and DEA efficiency - relations and numerical comparison

被引：0

作者：

Branda, Martin ^{[1
]}

机构：

[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, CR-18208 Prague 8, Czech Republic

来源：

PROCEEDINGS OF THE 29TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2011, PTS I AND II | 2011年

关键词：

third-degree stochastic dominance; stochastic dominance efficiency; mean-risk efficiency; DEA efficiency; RISK;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose efficiency tests which are related to the third-degree stochastic dominance (TSD). The tests are based on necessary conditions for TSD and on related mean-risk models. We test pairwise efficiency as well as portfolio efficiency with respect to full diversification of available assets. We apply the proposed tests to 25 world financial indexes and we select the efficient ones. The test data set is divided into the periods - before financial crises and during it, and it is also considered at once.

引用

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页码：64 / 69

页数：6

共 37 条

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