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Description
  • We 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.
  • We 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. (en)
Title
  • Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison
  • Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison (en)
skos:prefLabel
  • Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison
  • Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison (en)
skos:notation
  • RIV/00216208:11320/13:10139269!RIV14-GA0-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • I, P(GAP402/12/0558), P(GP13-03749P)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 70045
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/13:10139269
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • US industry representative portfolios; efficiency; deviation measures; diversification; Data envelopment analysis (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [69F73E457ECB]
http://linked.open...v/mistoKonaniAkce
  • Jihlava
http://linked.open...i/riv/mistoVydani
  • Jihlava
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the 31st International Conference on Mathematical Methods in Economics 2013
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Branda, Martin
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • College of Polytechnics, Jihlava, Czech Republic
https://schema.org/isbn
  • 978-80-87035-76-4
http://localhost/t...ganizacniJednotka
  • 11320
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