Název:
Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach
Autoři:
Branda, Martin Typ dokumentu: Příspěvky z konference Konference/Akce: International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./, Ostrava (CZ), 2014-09-08 / 2014-09-09
Rok:
2014
Jazyk:
eng
Abstrakt: We focus on efficiency of assets and portfolios available to investors on financial markets. We employ diversification consistent DEA-risk models with CVaR deviations as the inputs and expected rate of return as the output. Moreover, we allow short selling and take into account margin requirements. Our model is then employed in an empirical study where selected assets from US stock market are investigated. The sample approximation technique is used to deal with the multivariate skew-normal distribution of random returns.
Klíčová slova:
CVaR deviation; data envelopment analysis; Financial efficiency; margin requirements; short sales Zdrojový dokument: International Scientific Conference Managing and Modelling of Financial Risks, ISBN 978-80-248-3631-7