On relations between DEA-risk models and stochastic dominance efficiency tests
Tóm tắt
Từ khóa
Tài liệu tham khảo
Banker RD, Charnes A, Cooper W (1984) Some models for estimating technical and scale inefficiencies in data envelopment analysis. Manag Sci 30(9):1078–1092
Basso A, Funari S (2001) A data envelopment analysis approach to measure the mutual fund performance. Eur J Oper Res 135(3):477–492
Basso A, Funari S (2003) Measuring the performance of ethical mutual funds: a DEA approach. J Oper Res Soc 54:521–531
Bawa VS, Bodurtha JN, Rao MR, Suri HL (1985) On determination of stochastic dominance optimal sets. J Financ 40:417–431
Branda M (2012a) Stochastic programming problems with generalized integrated chance constraints. Optimization 61(8):949–968
Branda M (2012b) Sample approximation technique for mixed-integer stochastic programming problems with several chance constraints. Oper Res Lett 40(3):207–211
Branda M (2012c) Diversification-consistent data envelopment analysis with general deviation measures. Eur J Oper Res. Available, online 17 November 2012. doi: 10.1016/j.ejor.2012.11.007
Branda M, Dupačová J (2012) Approximations and contamination bounds for probabilistic programs. Ann Oper Res 193(1):3–19
Branda M, Kopa M (2012a) DEA-risk efficiency and stochastic dominance efficiency of stock indices. Czech J Econ Financ 62(2):106–124
Branda M, Kopa M (2012b) Equivalence of stochastic dominance and DEA-risk models. Working paper, Oper Res Lett (submitted to)
Branda M, Kopa M (2012c) From stochastic dominance to DEA-risk models: portfolio efficiency analysis. In: Sakalauskas L, Tomasgard A, Wallace SW (eds) Proceedings of the international workshop on stochastic programming for implementation and advanced applications. Vilnius Gediminas Technical University, Vilnius, Lithuania, pp 13–18
Charnes A, Cooper W (1962) Programming with linear fractional functionals. Naval Res Logist Q 9:181–196
Charnes A, Cooper W, Rhodes E (1978) Measuring the efficiency of decision-making units. Eur J Oper Res 2:429–444
Chen Z, Lin R (2006) Mutual fund performance evaluation using data envelopment analysis with new risk measures. OR Spectr 28:375–398
Daraio C, Simar L (2006) A robust nonparametric approach to evaluate and explain the performance of mutual funds. Eur J Oper Res 175(1):516–542
Dentcheva D, Ruszczynski A (2006) Portfolio optimization with stochastic dominance constraints. J Banking Financ 30(2):433–451
Dupačová J, Kopa M (2012) Robustness in stochastic programs with risk constraints. Ann Oper Res 200(1):55–74
Fábián CI, Mitra G, Roman D (2011) Processing Second-order Stochastic Dominance models using cutting-plane representations. Math Program 130(1):33–57
Fishburn PC (1974) Convex stochastic dominance with continuous distribution functions. J Econ Theory 7:143–158
Galagadera UA, Silvapulle P (2002) Australian mutual fund performance appraisal using data envelopment analysis. Manag Financ 28(9):60–73
Gollmer R, Gotzes U, Schultz R (2011) A note on second-order stochastic dominance constraints induced by mixed-integer linear recourse. Math Program Ser A 126(1):179–190
Gotoh J-Y, Konno H (2000) Third-degree stochastic dominance and mean-risk analysis. Manag Sci 46(2):289–301
Hardy GH, Littlewood JE, Pólya G (1934) Inequalities, 1st edn. Cambridge University Press, Cambridge
Hanoch G, Levy H (1969) The efficient analysis of choices involving risk. Rev Econ Stud 36(3):335–346
Jablonsky J (2012) Multicriteria approaches for ranking of efficient units in DEA models. Cent Eur J Oper Res 20(3):435–449
Kopa M (2010) Measuring of second-order stochastic dominance portfolio efficiency. Kybernetika 46(3):488–500
Kopa M, Chovanec P (2008) A second-order stochastic dominance portfolio efficiency measure. Kybernetika 44(2):243–258
Kopa M, Post T (2009) A portfolio efficiency test based on FSD optimality. J Financ Quant Anal 44(5):1103–1124
Kuosmanen T (2004) Efficient diversification according to stochastic dominance criteria. Manag Sci 50(10):1390–1406
Lamb JD, Tee K-H (2012a) Data envelopment analysis models of investment funds. Eur J Oper Res 216(3):687–696
Lamb JD, Tee K-H (2012b) Resampling DEA estimates of investment fund performance. Eur J Oper Res 223(3):834–841
Levy H (2006) Stochastic dominance: investment decision making under uncertainty, 2nd edn. Springer, New York
Lizyayev A (2012) Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements. Ann Oper Res 196(1):391–410
Lozano S, Gutiérrez E (2008) Data envelopment analysis of mutual funds based on second-order stochastic dominance. Eur J Oper Res 189:230–244
Luedtke J (2008) New formulations for optimization under stochastic dominance constraints. SIAM J Optim 19(3):1433–1450
Markowitz HM (1952) Portfolio selection. J Financ 7(1):77–91
Markowitz HM (1959) Portfolio selection: efficient diversification in investments. Wiley, New York
Meskarian R, Xu H, Fliege J (2012) Numerical methods for stochastic programs with second order dominance constraints with applications to portfolio optimization. Eur J Oper Res 216(2):376–385
Murthi BPS, Choi YK, Desai P (1997) Efficiency of mutual funds and portfolio performance measurement: a non-parametric approach. Eur J Oper Res 98(2):408–418
von Neumann J, Morgenstern O (1944) Theory of games and economic behavior. Princeton University Press, Princeton
Ogryczak W, Ruszczynski A (2001) On consistency of stochastic dominance and mean-semideviation models. Math Program Ser B 89:217–232
Ogryczak W, Ruszczynski A (2002) Dual stochastic dominance and related mean-risk models. SIAM J Optim 13:60–78
Pflug G (2000) Some remarks on the value-at-risk and the conditional value-at-risk. In: Uryasev SP (ed) Probabilistic constrained optimization. Kluwer, Dordrecht, pp 272–281
Rockafellar RT, Uryasev S (2002) Conditional value-at-risk for general loss distributions. J Banking Financ 26:1443–1471
Rockafellar RT, Uryasev S, Zabarankin M (2006) Generalized deviations in risk analysis. Financ Stoch 10:51–74
Whitmore GA (1970) Third-degree stochastic dominance. Am Econ Rev 60(3):457–459