Original title: Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach
Authors: Branda, Martin
Document type: Papers
Conference/Event: International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./, Ostrava (CZ), 2014-09-08 / 2014-09-09
Year: 2014
Language: eng
Abstract: 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.
Keywords: CVaR deviation; data envelopment analysis; Financial efficiency; margin requirements; short sales
Host item entry: International Scientific Conference Managing and Modelling of Financial Risks, ISBN 978-80-248-3631-7

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2014/E/branda-0438604.pdf
Original record: http://hdl.handle.net/11104/0243059

Permalink: http://www.nusl.cz/ntk/nusl-180533


The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers