Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison

被引：0
|
作者：
Branda, Martin [1 ]
机构：
[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Sci, Prague 18675, Czech Republic
来源：
MATHEMATICAL METHODS IN ECONOMICS 2013, PTS I AND II | 2013年
关键词：
Data envelopment analysis; diversification; deviation measures; efficiency; US industry representative portfolios; DATA ENVELOPMENT ANALYSIS; PERFORMANCE EVALUATION; MUTUAL FUNDS; EFFICIENCY;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we will propose numerically tractable formulations of the diversification-consistent DEA tests, which generalize traditional DEA tests as well as mean-risk models. We employ general deviation measures to measure risk of the investment opportunities. We will compare strength of the tests and give characterizations of efficient and inefficient investment opportunities. US industry representative portfolios will be ranked using the proposed DEA tests.
引用
收藏
页码：77 / 82
页数：6
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