| bibtype |
J -
Journal Article
|
| ARLID |
0376757 |
| utime |
20240103200847.1 |
| mtime |
20120511235959.9 |
| WOS |
000303969200002 |
| title
(primary) (eng) |
DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0255446 |
| ISSN |
0015-1920 |
| title
|
Finance a úvěr-Czech Journal of Economics and Finance |
| volume_id |
62 |
| volume |
2 (2012) |
| page_num |
106-124 |
| publisher |
| name |
Univerzita Karlova v Praze |
|
|
| keyword |
Data Envelopment Analysis |
| keyword |
Risk measures |
| keyword |
Index efficiency |
| keyword |
Stochastic dominance |
| author
(primary) |
| ARLID |
cav_un_auth*0281003 |
| name1 |
Branda |
| name2 |
M. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0254103 |
| name1 |
Kopa |
| name2 |
Miloš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| garant |
G |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| project |
| project_id |
GAP402/12/0558 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0281004 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this article, the authors deal with the efficiency of world stock indices. Basically, they compare three approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) efficiency. In the DEA methodology, efficiency is defined as a weighted sum of outputs compared to a weighted sum of inputs when optimal weights are used. In DEA-risk efficiency, several risk measures and functionals which quantify the risk of the indices (var, VaR, CVaR, etc.) as DEA inputs are used. Mean gross return is considered as the only DEA output. When only one risk measure as the input and mean gross return as the output are considered, the DEA-risk efficiency is related to the mean-risk efficiency. The authors test the DEA-risk efficiency of 25 indices and they analyze the sensitivity of their results with respect to the selected inputs. Using stochastic dominance criteria, they test pairwise efficiency as well as portfolio efficiency, allowing full diversification across assets. |
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
2 |
| permalink |
http://hdl.handle.net/11104/0209078 |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
0.116 |
| mrcbT16-q |
8 |
| mrcbT16-s |
0.365 |
| mrcbT16-y |
36.08 |
| mrcbT16-x |
0.34 |
| mrcbT16-4 |
Q3 |
| mrcbT16-B |
13.275 |
| mrcbT16-C |
20.787 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2012 |
| mrcbU34 |
000303969200002 WOS |
| mrcbU63 |
cav_un_epca*0255446 Finance a úvěr-Czech Journal of Economics and Finance 0015-1920 0015-1920 Roč. 62 č. 2 2012 106 124 Univerzita Karlova v Praze |
|