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  • The paper compares two efficiency approaches: Data Envelopment Analysis (DEA) and Second Order Stochastic Dominance (SSD) efficiency. As DEA inputs, we use several risk measures and functionals which quantify a risk of the indices. As the only DEA output, expected return is considered. Using Second Order Stochastic Dominance criteria, we test pairwise efficiency as well as portfolio efficiency allowing full diversification across the assets.
  • The paper compares two efficiency approaches: Data Envelopment Analysis (DEA) and Second Order Stochastic Dominance (SSD) efficiency. As DEA inputs, we use several risk measures and functionals which quantify a risk of the indices. As the only DEA output, expected return is considered. Using Second Order Stochastic Dominance criteria, we test pairwise efficiency as well as portfolio efficiency allowing full diversification across the assets. (en)
Title
  • DEA-risk efficiency of stock indices
  • DEA-risk efficiency of stock indices (en)
skos:prefLabel
  • DEA-risk efficiency of stock indices
  • DEA-risk efficiency of stock indices (en)
skos:notation
  • RIV/00216208:11320/10:10051861!RIV11-GA0-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP402/10/1610), Z(MSM0021620839)
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
  • 253021
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/10:10051861
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • second order stochastic dominance; indices efficiency; risk measures; data envelopment analysis (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [09705120A00E]
http://linked.open...v/mistoKonaniAkce
  • Praha
http://linked.open...i/riv/mistoVydani
  • Ostrava
http://linked.open...i/riv/nazevZdroje
  • Proceedings of 47th EWGFM meeting
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Kopa, Miloš
  • Branda, Martin
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • VŠB - Technical university of Ostrava
https://schema.org/isbn
  • 978-80-248-2351-5
http://localhost/t...ganizacniJednotka
  • 11320
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