0438604 20240103205443.820150121235959.9 000350605800012 6 s. P cav_un_epca*0438603978-80-248-3631-797-102OstravaVŠB-Technická univerzita Ostrava2014 Financial efficiency data envelopment analysis margin requirements CVaR deviation short sales cav_un_auth*0280972 Ekonometrie Department of Econometrics E E Department of Decision Making Theory Branda Martin UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/branda-0438604.pdf We focus on efficiency of assets and portfolios available to investors on financial markets. We employ diversification consistent DEA-risk models with CVaR deviations as the inputs and expected rate of return as the output. Moreover, we allow short selling and take into account margin requirements. Our model is then employed in an empirical study where selected assets from US stock market are investigated. The sample approximation technique is used to deal with the multivariate skew-normal distribution of random returns. cav_un_auth*0308372 International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./ 08.09.2014-09.09.2014 Ostrava CZ BB 2015 ZP RVO:67985556 http://hdl.handle.net/11104/0243059 S 2014 000350605800012 WOS cav_un_epca*0438603 International Scientific Conference Managing and Modelling of Financial Risks 978-80-248-3631-7 97 102 International Scientific Conference Managing and Modelling of Financial Risks Ostrava VŠB-Technická univerzita Ostrava 2014