Název:
Third-degree stochastic dominance and DEA efficiency - relations and numerical comparison
Autoři:
Branda, Martin Typ dokumentu: Příspěvky z konference Konference/Akce: Mathematical Methods in Economics 2011, Jánska Dolina (SK), 2011-09-06 / 2011-09-09
Rok:
2011
Jazyk:
eng
Abstrakt: We propose efficiency tests which are related to the third-degree stochastic dominance (TSD). The tests are based on necessary conditions for TSD and on related mean-risk models. We test pairwise efficiency as well as portfolio efficiency with respect to full diversification of available assets.
Klíčová slova:
DEA efficiency; mean-risk efficiency; stochastic dominance; stochastic dominance efficiency Číslo projektu: CEZ:AV0Z10750506 (CEP), GAP402/10/1610 (CEP) Poskytovatel projektu: GA ČR Zdrojový dokument: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4