On relations between DEA-risk models and stochastic dominance efficiency tests

DOI10.1007/s10100-012-0283-2zbMath1339.90229OpenAlexW2044107117MaRDI QIDQ301149

Martin Branda, Miloš Kopa

Publication date: 29 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-012-0283-2

zbMATH Keywords

data envelopment analysissecond-order stochastic dominanceconvex SSD efficiencypairwise SSD efficiencySSD portfolio efficiency

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Management decision making, including multiple objectives (90B50) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)

Related Items (13)

Enhanced index tracking with CVaR-based ratio measures ⋮ On relations between DEA-risk models and stochastic dominance efficiency tests ⋮ The state of financial modelling in 2012, as shaped by the GFC ⋮ Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model ⋮ Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis ⋮ Buffered-ranking intervals for virtual profit efficiency analysis ⋮ Editorial: special issue on data envelopment analysis ⋮ Improving discrimination in data envelopment analysis without losing information based on Renyi's entropy ⋮ Dynamic network DEA approach with diversification to multi-period performance evaluation of funds ⋮ DEA models equivalent to general $N$th order stochastic dominance efficiency tests ⋮ On the impact of conditional expectation estimators in portfolio theory ⋮ Two-Stage Optimization Problems with Multivariate Stochastic Order Constraints ⋮ Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour

Uses Software

• DDSIP

Cites Work

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