.png){kind=icon}
返回
Diversification-consistent data envelopment analysis with general deviation measures
.png){kind=icon}
PRE
AI
DOI：10.1016/j.ejor.2012.11.007.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We propose new efficiency tests which are based on traditional DEA models and take into account portfolio diversification. The goal is to identify the investment opportunities that perform well without specifying our attitude to risk. We use general deviation measures as the inputs and return measures as the outputs. We discuss the choice of the set of investment opportunities including portfolios with limited number of assets. We compare the optimal values (efficiency scores) of all proposed tests leading to the relations between the sets of efficient opportunities. Strength of the tests is then discussed. We test the efficiency of 25 world financial indices using new DEA models with CVaR deviation measures. (C) 2012 Elsevier B.V. All rights reserved.
Keyword:
Efficiency tests
Data envelopment analysis
General deviation measures
Diversification-consistency
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
6
论文数:
2.2W
被引数:
6.4W
机构
暂无机构信息
引用论文
.png){kind=icon}
分享收藏分享收藏
查看更多内容