On relations between DEA-risk models and stochastic dominance efficiency tests
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Publication:301149
DOI10.1007/S10100-012-0283-2zbMATH Open1339.90229OpenAlexW2044107117MaRDI QIDQ301149FDOQ301149
Authors: 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
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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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- On relations between DEA-risk models and stochastic dominance efficiency tests
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Cited In (18)
- Two-stage optimization problems with multivariate stochastic order constraints
- Enhanced index tracking with CVaR-based ratio measures
- Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
- On relations between DEA-risk models and stochastic dominance efficiency tests
- Editorial: special issue on data envelopment analysis
- Improving discrimination in data envelopment analysis without losing information based on Renyi's entropy
- Investigating models of stochastic data envelopment analysis
- On the impact of conditional expectation estimators in portfolio theory
- Characteristics on stochastic dea efficiency -reliability and probability being efficient-
- The state of financial modelling in 2012, as shaped by the GFC
- Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach
- Dynamic network DEA approach with diversification to multi-period performance evaluation of funds
- Diversification-consistent data envelopment analysis with general deviation measures
- Data envelopment analysis of mutual funds based on second-order stochastic dominance
- Buffered-ranking intervals for virtual profit efficiency analysis
- Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
- DEA models equivalent to general $N$th order stochastic dominance efficiency tests
- Measuring the overall efficiency of SRI and conventional mutual funds by a diversification‐consistent DEA model
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