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Efficiency of representative portfolios using data envelopment analysis
Junová, Jana ; Kopa, Miloš (advisor) ; Branda, Martin (referee)
In this work, several data envelopment analysis (DEA) models are used to assess efficiency of US representative portfolios. We consider a portfolio to be efficient if no other surpasses it in minimizing risk or maximizing return. This property is precisely defined in the work and it can be well detected by DEA models. DEA models assuming constant return-to-scale (CRS) as well as variable return-to- scale (VRS) are described here. A model with directional measure is also presented. Four of the VRS models are transformed into diversification consistent (DC) models. In the empirical part, CVaRs on multiple levels are used as risk measures and expected return as a return measure typically. Results acquired using different DEA models to assess efficiency of portfolios are compared. DC models are stronger than their classical VRS counterparts. The DC models identified as efficient only the portfolio with the highest expected return. On the contrary, VRS models classified as efficient more portfolios which differ in riskiness. Their results could be interesting if an investor wanted to choose only one portfolio based on its riskiness.
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Evaluating of Efficiency of Football Clubs in Premier League by Data Envelopment Analysis
Konečný, David ; Šíma, Jan (advisor) ; Voráček, Josef (referee)
Title: Evaluating of efficiency of Football Clubs in Premier League by Data Envelopment Analysis. Goals: The aim of the thesis is to identify the effectiveness of football clubs in the Premier League in the season 2016/2017. In the post optimization analysis evaluate, which observed clubs have been effective in transforming inputs into outputs, and which clubs have some deficiencies in this transformation. Methods: In the thesis for efficiency research, the Data Envelopment Analysis (DEA) data analysis method is used to evaluate the effectiveness of individual clubs in the Premier League. DEA determines which units are effective and what are the deviations from the effective frontier for the units that are inefficient. The measurements are made by an input- oriented CCR model and a BCC model. The CCR model assumes constant returns to scale and BCC considers variable returns to scale. Results: The result section identifies the productive efficiency of individual football clubs in the Premier League in the season 2016/2017. The effective frontier reached a total of 7 clubs in both CCR and BCC models. The average efficiency in the CCR model is 87 %. In the BCC model, the average efficiency is 91 %. As a result, the Premier League as a competition is highly efficient. Key words: data envelopment...
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Diversification in Data Envelopment Analysis in finance
Macková, Simona ; Branda, Martin (advisor) ; Hurt, Jan (referee)
Title: Diversification in Data Envelopment Analysis in Finance Author: Simona Macková Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Martin Branda, Ph.D., Department of Probability and Ma- thematical Statistics Abstract: This thesis deals with an extension of data envelopment analysis and its application in finance. This method enables to evaluate the efficiency of cho- sen production units based on several inputs and outputs. Administrative fees or risk measures can be used as inputs and expected incomes of observed assets as outputs in financial application. We show basic traditional models in a form of a primary problem of linear programming and a dual problem as well and later compare with diversification models. It is suitable to deal with diversification which enables to consider dependencies between assets in case of finance and in- vestments. Than we get to nonlinear programming problem hence we introduce appropriate risk and return measures to make the problem solvable. Especially, we focus on the conditional value at risk. Next we introduce the model which deals with diversification. We use this on real data of chosen mutual funds. Keywords: Data envelopment analysis, Efficiency, Diversification, Conditional value at risk
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Determinants of Technical Efficiency and its Change among Ghanaian Cocoa Farmers
Valenta, David ; Janský, Petr (advisor) ; Břízová, Pavla (referee)
This thesis analyses determinants of technical efficiency (TE), its change and scale efficiency on an unbalanced panel of more than 700 Ghanaian cocoa farmers collected between 2004 and 2010. Using variable returns to scale data envelopment analysis the TE scores are obtained and the mean TE found is 35.4%. In second stage, random effects Tobit regression is used to investigate the determinants of efficiency and number of significant determinants is found from categories of farmers' characteristics, different technical specifications of the farm, focus on farming, farm management style and investments. Moreover, this thesis contributes to the efficiency debate by researching determinants of efficiency change, finding gender and savings to have significant positive effect among others.
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Data Envelopment Analysis with financial application
Marcinek, Daniel ; Branda, Martin (advisor) ; Zichová, Jitka (referee)
This thesis deals with various methods of Data Envelopment Analysis and their use in finance. Efficiency is measured by a ratio of weighted outputs to weighted inputs. From this model, a fractional programming problem is formed, which is then transformed into a linear programming problem. We derive a dual problem for that one. We also introduce another methods of Data Envelopment Analysis. We explain difference between a constant return to scale and a variable return to scale. We deal with a risk measures, which are considered as the inputs together with the management fees. We use gross returns as the single input. We apply these models to 15 mutual funds, determine efficiency of these mutual funds and compare these methods with another one. At the end we determine how the efficiency changes if we use only the risk measures as the inputs.
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Měření výkonnosti veřejných muzeí umění
Prokůpek, Marek ; Riedlbauch, Václav (advisor) ; Machek, Ondřej (referee) ; Wagner, Jaroslav (referee)
The issue of the economics of cultural institutions, their economic impact, and measurement of their performance has been paid systematic attention basically only in the past few years. PhD thesis analyses the methods of performance measurement in public art museums and creates economic models. Aim of my thesis is also to create a model for museum managers to measure the performance. Nowadays it is almost necessary to integrate performance measurement system in organization´s strategy decision making. The museum managers feel the pressure to prove that their organization is performing well by various stakeholders and we perceive the idea that multidimensional performance measures could fill the informational gap concerning performance, quality, and the artistic value of cultural programs. The mixed research method was employed in this research. Qualitative data was obtained from the questionnaire and interviews. Quantitative data was obtained from the questionnaire, annual reports and reports of The National Information and Consulting Centre for Culture (NIPOS). The aim of this study is to propose a comprehensive multidimensional model to assess art museum activities. This model takes into account the scope and character of museum´s mission. This model consists of implementation of Data Envelopment Analysis into Balanced Scorecard.
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Evaluation of the Effectiveness of Health Care Facilities
Korbelová, Kristýna ; Váchová, Lucie (advisor) ; Zelená, Veronika (referee)
The aim of the thesis is to map out the possibilities of measuring the effectiveness of health care facilities and a practical example of the one found methods to use. In the introduction there are explained the terms efficiency and effectiveness. The next section describes the specifics of health care facilities in terms of their performance and the economy. Options of measuring efficiency in health care are identified mainly through literature. Detailed view of a practical part is dedicated to the modern method of measuring the effectiveness the Data Envelopment Analysis (DEA). In the practical part using the chosen tools is evaluated the effectiveness of a sample of hospitals. The conclusion summarizes the possibilities of measuring the effectiveness and assesses the benefits of using DEA.
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Evaluation of efficiency of selected regional branches of CSO
Tykvart, Pavel ; Houška, Milan (advisor) ; Hana, Hana (referee)
In today's dynamically changing times, the main objective of organizations operating in the private and public sphere is efficiency maximizing. This thesis has been based on this assumption. The main aim of this work is to provide on the specific case an evaluation of the efficiency by using methods of multiple-criteria decision-making in the public sector. The rating of individual regional offices of the Czech Statistical Office, substantially participating in data collecting by performing statistical surveys, is presented in this work, using the method of Data Envelopment Analysis. The thesis can be divided into two parts. The first part deals with the theoretical preparation. This part describes the basic terms connected with the topic of the effectiveness evaluation and a theoretical description of the method the processing is based on. The second part describes the processing itself. At the beginning of this part, there is a brief overview of the activities of the Czech Statistical Office, which is followed by an overview of the statistical survey areas. Then, based on selected inputs and outputs, the efficiency is evaluated.
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Evaluating the quality of life in district in Czech republic
KOSTIHOVÁ, Lenka
Bachelor thesis aims to identify strengths and weaknesses in the districts of the Czech republic and compare the quality of life based on selected criteria. Method DEA defines efficiency of evaluated districts, which presents the level of quality of life in the district. DEA method recommends inefficient districts a way to increase their efficiency. In this work, unemployment, criminality range, air pollution and flat prices are seen as inputs, whereas number of doctors, road density and economic activity present the outputs. Using those indicators, the advantages and disadvantages of each individual district are identified. The assessment itself is carried out via software Frontier Analyst and all data relates to the year 2012.
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Bank Efficiency and Interest Rate Pass-Through: Evidence from Czech Loan Products
Havránek, Tomáš ; Iršová, Zuzana ; Lešanovská, Jitka
An important component of monetary policy transmission is the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. Yet the available evidence on the strength and speed of the pass-through is mixed and varies across countries, time periods, and even individual banks. We examine the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determinants of pricing policies, especially cost efficiency, which we estimate employing both stochastic frontier and data envelopment analysis. Our main results are threefold: First, the long-term pass-through was close to complete for most products before the financial crisis, but has weakened considerably afterward. Second, banks that provide high rates for deposits usually charge high loan markups. Third, cost-efficient banks tend to delay responses to changes in the market rate, smoothing loan rates for their clients.
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