On relations between DEA-risk models and stochastic dominance efficiency tests
Martin Branda () and
Miloš Kopa
Central European Journal of Operations Research, 2014, vol. 22, issue 1, 13-35
Abstract:
In this paper, several concepts of portfolio efficiency testing are compared, based either on data envelopment analysis (DEA) or the second-order stochastic dominance (SSD) relation: constant return to scale DEA models, variable return to scale (VRS) DEA models, diversification-consistent DEA models, pairwise SSD efficiency tests, convex SSD efficiency tests and full SSD portfolio efficiency tests. Especially, the equivalence between VRS DEA model with binary weights and the SSD pairwise efficiency test is proved. DEA models equivalent to convex SSD efficiency tests and full SSD portfolio efficiency tests are also formulated. In the empirical application, the efficiency testing of 48 US representative industry portfolios using all considered DEA models and SSD tests is presented. The obtained efficiency sets are compared. A special attention is paid to the case of small number of the inputs and outputs. It is empirically shown that DEA models equivalent either to the convex SSD test or to the SSD portfolio efficiency test work well even with quite small number of inputs and outputs. However, the reduced VRS DEA model with binary weights is not able to identify all the pairwise SSD efficient portfolios. Copyright Springer-Verlag Berlin Heidelberg 2014
Keywords: Data envelopment analysis; Second-order stochastic dominance; Pairwise SSD efficiency; Convex SSD efficiency; SSD portfolio efficiency (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (17)
Downloads: (external link)
http://hdl.handle.net/10.1007/s10100-012-0283-2 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:cejnor:v:22:y:2014:i:1:p:13-35
Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/10100
DOI: 10.1007/s10100-012-0283-2
Access Statistics for this article
Central European Journal of Operations Research is currently edited by Ulrike Leopold-Wildburger
More articles in Central European Journal of Operations Research from Springer, Slovak Society for Operations Research, Hungarian Operational Research Society, Czech Society for Operations Research, Österr. Gesellschaft für Operations Research (ÖGOR), Slovenian Society Informatika - Section for Operational Research, Croatian Operational Research Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().