DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices

Article OPEN
Martin Branda; Miloš Kopa;
  • 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
  • References (9)

    Murthi BPS, Choi YK, Desai P (1997): Efficiency of mutual funds and portfolio performance measurement: a non-parametric approach. European Journal of Operational Research, 98(2): 408-418.

    Ogryczak W, Ruszczyński A (2002): Dual stochastic dominance and related mean-risk models. SIAM J. Optim., 13(1):60-78.

    Pflug G (2000): Some Remarks on the value-at-risk and the Conditional value-at-risk. In: (Uryasev S, Ed.): Probabilistic Constrained Optimization. Kluwer, Dordrecht, pp. 272-281.

    Post T (2003): Empirical tests for stochastic dominance efficiency. Journal of Finance, 58(5): 1905-1932.

    Průša J (2012): The Most Efficient Czech SME Sectors: An Application of Robust Data Envelopment Analysis. Finance a úvěr-Czech Journal of Economics and Finance, 62(1):44-65.

    Rockafellar RT, Uryasev S (2000): Optimization of Conditional Value-At-Risk. Journal of Risk, 2(3):21-41.

    Rockafellar RT, Uryasev S (2002): Conditional Value-at-Risk for General Loss Distributions. Journal of Banking and Finance, 26(7):1443-1471.

    Roháčová V (2011): Cost efficiency of selected transport companies of the Czech Republic-an application of data envelopment analysis (in Slovak). Ekonomická revue-Central European Review of Economic Issues, 14(3):175-182.

    Scaillet O, Topaloglou N (2010): Testing for Stochastic Dominance Efficiency. Journal of Business and Economic Statistics, 28(1):169-180.

  • Metrics
Share - Bookmark