|
|
Efektivnost energetického průmyslu v Evropské unii
Kalábová, Kateřina
The bachelor thesis deals with the energy industry in the countries of the European Union. The goal will be to evaluate and compare efficiency in selected EU countries in 2016–2019. The energy sector significantly affects the economic growth of each country and thus the situation of the given state. The effectiveness of EU countries was evaluated using a non-parametric method of data envelopment analysis. Furthermore, the change in efficiency over time at the level of individual EU states within the selected period will be examined, using the metafrontier estimation approach. The results show that the efficiency level is high in the given sector and the number of efficient units grows over time. The energy sector has a tendency of constant improvement.
|
|
|
Evaluation of efficiency of professional football clubs
Krause, Veronika ; Šíma, Jan (advisor) ; Voráček, Josef (referee)
Title: Evaluation of efficiency of professional football clubs Objectives: The aim of this thesis is to identify the efficiency of English Premier League football clubs in the 2015/16 to 2018/19 seasons using two selected data envelopment analysis models and compare the results. Subsequently, to define what optimisation of inputs and outputs would lead to maximum efficiency. Methods: The method of data envelopment analysis, based on linear programming, was used to determine the effectiveness. There were chosen two approaches to this method, each with a different set of inputs and outputs, both assuming variable returns to scale and focusing on inputs. Results: Two clubs were identified as being maximally effective throughout the whole period. Some relegated clubs were also rated as 100% efficient. The optimization of the variables primarily proposed a reduction of inputs. Keywords: football, efficiency, data envelopment analysis, decision making unit, DEA-BCC
|
|
|
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
|
|
|
Empirical analysis of the effectiveness of English Premier League football clubs in the 2019/20 season
Smola, Vojtěch ; Gregor, Martin (advisor) ; Vávra, Jan (referee)
This paper focuses on an empirical analysis of the efficiency of English Premier League football clubs. Scholarly papers, that have focused on this topic previously, have reached different conclusions. The aim of this thesis is to show whether clubs manage to spend their finances efficiently or not, and furthermore to identify the most efficient teams. For this purpose, we have used data from 2019/20 season. We focus on club expenditure (players' and other staff salaries, advertising, new player purchases) and income (tickets, broadcasting rights, sponsors and how many points they earned in this season. We will also take note of the capacity of the stadium. The method used was data envelopment analysis with the CCR model, which is input-oriented, and the BCC model, which uses variable returns to scale, as they are the most appropriate for this purpose. The results show that big clubs or teams successful internationally are not more efficient than other league teams. The inefficiency is primarily due to poor use of resources, but also by the global pandemic of Covid-19.
|
|
|
Risk aversion in portfolio efficiency
Puček, Samuel ; Branda, Martin (advisor) ; Kopa, Miloš (referee)
This thesis deals with selecting the optimal portfolio for a risk averse investor. Firstly, we present the risk measures, specifically spectral risk me- asures which consider an individual risk aversion of the investor. Then we propose a diversification-consistent data envelopment analysis model. The model is searching for an efficient portfolio with respect to second-order sto- chastic dominance. The crux of the thesis is a model based on the theory of multi-criteria optimization and spectral risk measures. The presented mo- del is searching for an optimal portfolio suitable for the investor with a given risk aversion. In addition, the optimal portfolio is also consistent with second- order stochastic dominance efficiency. The topic of the practical part is a nu- merical study in which both models are implemented in MATLAB. Models are applied to a dataset from real financial markets. Personal contribution lies in comparing the diversification-consistent data envelopment analysis model and model based on multi-criteria optimization, both with respect to second order stochastic dominance efficiency.
|
|
|
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.
|
|
|
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...
|
|
|
Efficiency of football clubs in Premier League
Topinka, Jiří ; Šíma, Jan (advisor) ; Voráček, Josef (referee)
Title: Efficiency of football clubs in Premier League Objectives: The aim of this diploma thesis is to investigate the technical efficiency of Premier League clubs in the 2015/2016 season using a Data Envelopment Analysis approach. Determine which clubs worked efficiently and identify weaknesses of individual teams. Methods: The efficiency of each Premier League club is analysed by Data envelopment analysis (DEA). The efficiency is computed for input oriented CCR model (constant returns to scale) and BCC model (variable returns to scale). Results: The technical efficiency of each club in the 2015/2016 Premier League season is evaluated in the practical part of this thesis, with eight clubs achieving maximum efficiency for both CCR and BCC models. That indicates that the competition as a whole is highly effective. Keywords: Premier League, technical efficiency data envelopment analysis, CCR, BCC
|
|
|
A Comparative Analysis of Performance of Dopravní podnik města Olomouce, a.s
Krausová, Iveta ; Machek, Ondřej (advisor) ; Prokůpek, Marek (referee)
The aim of this thesis is focuses on analysis of efficacy and performance of transport companies in the Czech Republic and the determining of the competitive position of Dopravní podnik města Olomouce, a.s. among other analysed companies and proposing recommendations for this company. The theoretical base concentrates on the interpretation of concepts of efficacy and performance and methods of their evaluation. These methods include Data Envelopment Analysis and Benchmarking. Following section which is focused on data and methods includes introduction to analysed company, Dopravní podnik města Olomouce, a.s., and also a Data Envelopment Analysis of nineteen transport companies in the Czech Republic. This chapter begins with a description of the input data and then the analysis of the comparison of the efficacy of these enterprises. In the next part benchmarking of transport companies is carried out using selected ratios in the technical, performance and financial field.
|
|
|
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
|
guest ::
