On relations between DEA-risk models and stochastic dominance efficiency tests
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data envelopment analysissecond-order stochastic dominanceconvex SSD efficiencypairwise SSD efficiencySSD portfolio efficiency
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Management decision making, including multiple objectives (90B50) Programming involving graphs or networks (90C35) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
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Cites work
- scientific article; zbMATH DE number 5080888 (Why is no real title available?)
- scientific article; zbMATH DE number 3014822 (Why is no real title available?)
- scientific article; zbMATH DE number 3106184 (Why is no real title available?)
- A data envelopment analysis approach to measure the mutual fund performance
- A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse
- A robust nonparametric approach to evaluate and explain the performance of mutual funds
- A second-order stochastic dominance portfolio efficiency measure
- Approximation and contamination bounds for probabilistic programs
- Data envelopment analysis (DEA) -- thirty years on
- Data envelopment analysis models of investment funds
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Diversification-consistent data envelopment analysis with general deviation measures
- Dual Stochastic Dominance and Related Mean-Risk Models
- Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
- Generalized deviations in risk analysis
- Measuring of second-order stochastic dominance portfolio efficiency
- Measuring the efficiency of decision making units
- Measuring the performance of ethical mutual funds: a DEA approach
- Multicriteria approaches for ranking of efficient units in DEA models
- Mutual fund performance evaluation using data envelopment analysis with new risk measures
- New Formulations for Optimization under Stochastic Dominance Constraints
- Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization
- On a basic definition of returns to scale
- On consistency of stochastic dominance and mean-semideviation models
- On relations between DEA-risk models and stochastic dominance efficiency tests
- Processing second-order stochastic dominance models using cutting-plane representations
- Programming with linear fractional functionals
- Resampling DEA estimates of investment fund performance
- Robustness in stochastic programs with risk constraints
- Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints
- Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis
- Some remarks on the value-at-risk and the conditional value-at-risk
- Stochastic Dominance
- Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements
- Stochastic programming problems with generalized integrated chance constraints
- The Efficiency Analysis of Choices Involving Risk
- Third degree stochastic dominance and mean-risk analysis
Cited in
(19)- Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
- Characteristics on stochastic dea efficiency -reliability and probability being efficient-
- Two-stage optimization problems with multivariate stochastic order constraints
- Estimation of portfolio efficiency via stochastic DEA
- On relations between DEA-risk models and stochastic dominance efficiency tests
- Buffered-ranking intervals for virtual profit efficiency analysis
- Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
- Editorial: special issue on data envelopment analysis
- Improving discrimination in data envelopment analysis without losing information based on Renyi's entropy
- Enhanced index tracking with CVaR-based ratio measures
- DEA models equivalent to general $N$th order stochastic dominance efficiency tests
- On the impact of conditional expectation estimators in portfolio theory
- The state of financial modelling in 2012, as shaped by the GFC
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Diversification-consistent data envelopment analysis with general deviation measures
- Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
- Investigating models of stochastic data envelopment analysis
- Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
- Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
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