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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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DEA models and their application in the measurement of the effectiveness of emergency medical services in different regions of the Czech Republic
Bártíková, Ivana ; Borovička, Adam (advisor) ; Kobzareva, Maria (referee)
Data envelopment analysis (DEA) is a new method of multi-criteria decisions and is used to measurement effectiveness of various processes. This method will be also main subject of this thesis. There will be introduced functional principle of this method including formulations of all mathematical models in first part of thesis. Main differences between measurement of effectiveness in public and private sector will be also described. Analysis of the effectiveness of emergency medical services in different regions of the Czech Republic will be done in second part of this thesis. The data will be applied to both classic and modified models. At the end of the thesis the final results will be compared with indicators of living standard in Czech Republic and optimal solution in different regions will be proposed.
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Evaluation of effectiveness of renewable energy sources
Vrobel, Marcel ; Sekničková, Jana (advisor) ; Bíza Bisová, Sára (referee)
The problem of comparing different sectors, companies, or projects occurs very often. This problem arises of poorly chosen metodics or requirements for results. The results of such comparisons are inconclusive and then useless. The contribution of this work is a practical guide which focuses on using of data envelopment models for evaluation of different options. In this thesis DEA models are presented on renewable energy sources. For proper understanding of the problems it is necessary to define what the data envelopment models (also known as DEA models) are. The purpose of this thesis is to inform about their creation and origins and also the description of their function. There is also an introduction into the teory of renewable energy sources. Renewable energy sources are evaluated based on their input. In this thesis is a comparison of biomass with solar, water and wind energy.
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