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

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
• Measuring the efficiency of decision making units
• Multicriteria approaches for ranking of efficient units in DEA models
• On relations between DEA-risk models and stochastic dominance efficiency tests
• Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
• Data envelopment analysis models of investment funds
• On a basic definition of returns to scale
• Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
• A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
• Processing second-order stochastic dominance models using cutting-plane representations
• Data envelopment analysis (DEA) -- thirty years on
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
• Approximation and contamination bounds for probabilistic programs
• Robustness in stochastic programs with risk constraints
• Resampling DEA estimates of investment fund performance
• Diversification-consistent data envelopment analysis with general deviation measures
• A robust nonparametric approach to evaluate and explain the performance of mutual funds
• Data envelopment analysis of mutual funds based on second-order stochastic dominance
• Generalized deviations in risk analysis
• Mutual fund performance evaluation using data envelopment analysis with new risk measures
• Third Degree Stochastic Dominance and Mean-Risk Analysis
• Stochastic programming problems with generalized integrated chance constraints
• New Formulations for Optimization under Stochastic Dominance Constraints
• Measuring the performance of ethical mutual funds: a DEA approach
• Dual Stochastic Dominance and Related Mean-Risk Models
• Programming with linear fractional functionals
• Stochastic Dominance
• The Efficiency Analysis of Choices Involving Risk
• On consistency of stochastic dominance and mean-semideviation models
• A data envelopment analysis approach to measure the mutual fund performance

This page was built for publication: On relations between DEA-risk models and stochastic dominance efficiency tests