DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices

Article OPEN
Martin Branda; Miloš Kopa;
(2012)
  • Journal: Finance a uver - Czech Journal of Economics and Finance,volume 62,issue 2 May,pages106-124
  • Subject: Data Envelopment Analysis, risk measures, index efficiency, stochastic dominance
    • jel: jel:G11 | jel:C61 | jel:D81

In this article, the authors deal with the efficiency of world stock indices. Basically, they compare three approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) efficiency. In the DEA methodology, efficiency is defined as a weighted sum ... View more
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