Diversification-consistent data envelopment analysis with general deviation measures |
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Authors: | Martin Branda |
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Institution: | Charles University in Prague, Faculty of Mathematics and Physics, Department of Probability and Mathematical Statistics, Sokolovská 83, Prague 186 75, Czech Republic |
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Abstract: | We propose new efficiency tests which are based on traditional DEA models and take into account portfolio diversification. The goal is to identify the investment opportunities that perform well without specifying our attitude to risk. We use general deviation measures as the inputs and return measures as the outputs. We discuss the choice of the set of investment opportunities including portfolios with limited number of assets. We compare the optimal values (efficiency scores) of all proposed tests leading to the relations between the sets of efficient opportunities. Strength of the tests is then discussed. We test the efficiency of 25 world financial indices using new DEA models with CVaR deviation measures. |
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Keywords: | Efficiency tests Data envelopment analysis General deviation measures Diversification-consistency |
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