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

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://dx.doi.org/10.1007/s10100-012-0283-2
Description	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. 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. (en)
Title	On relations between DEA-risk models and stochastic dominance efficiency tests On relations between DEA-risk models and stochastic dominance efficiency tests (en)
skos:prefLabel	On relations between DEA-risk models and stochastic dominance efficiency tests On relations between DEA-risk models and stochastic dominance efficiency tests (en)
skos:notation	RIV/00216208:11320/14:10126831!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GAP402/10/1610), P(GAP402/12/0558)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Kopa, Miloš Branda, Martin
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	34357
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10126831
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	SSD portfolio efficiency; convex SSD efficiency; SSD pairwise efficiency; Second-order stochastic dominance; Data Envelopment Analysis (en)
http://linked.open.../riv/klicoveSlovo	Data Envelopment Analysis SSD pairwise efficiency SSD portfolio efficiency Second-order stochastic dominance convex SSD efficiency
http://linked.open...odStatuVydavatele	DE - Spolková republika Německo
http://linked.open...ontrolniKodProRIV	[6C31E83869EA]
http://linked.open...i/riv/nazevZdroje	Central European Journal of Operations Research
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Rational Decision Making at Markets with Asynchronous Trading: Theory and Emprical Evidence Efficiency and risk control in decision making
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	22
http://linked.open...iv/tvurceVysledku	Kopa, Miloš Branda, Martin
http://linked.open...ain/vavai/riv/wos	000329242800002
issn	1435-246X
number of pages	23 (xsd:int)
http://bibframe.org/vocab/doi	10.1007/s10100-012-0283-2
http://localhost/t...ganizacniJednotka	11320

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