Original title: Third-degree stochastic dominance and DEA efficiency - relations and numerical comparison
Authors: Branda, Martin
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2011, Jánska Dolina (SK), 2011-09-06 / 2011-09-09
Year: 2011
Language: eng
Abstract: 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.
Keywords: DEA efficiency; mean-risk efficiency; stochastic dominance; stochastic dominance efficiency
Project no.: CEZ:AV0Z10750506 (CEP), GAP402/10/1610 (CEP)
Funding provider: GA ČR
Host item entry: Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4

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/2012/E/branda-third-degree stochastic dominance and dea effciency-relations and numerical comparison.pdf
Original record: http://hdl.handle.net/11104/0210580

Permalink: http://www.nusl.cz/ntk/nusl-126868


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Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers