DEA models equivalent to general<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.gif" display="inline" overflow="scroll"><mml:mi>N</mml:mi></mml:math>th order stochastic dominance efficiency tests

Branda, Martin; Kopa, Miloš

doi:10.1016/j.orl.2016.02.007

Cited by 15 publications

(7 citation statements)

References 13 publications

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“…DEA has also been applied for evaluating a given portfolio's efficiency (see, e.g., Chen, Gai & Gupta, 2018;Lamb & Tee, 2012;Lim, Oh & Zhu, 2014, among others). In that respect, Branda & Kopa (2016) show that the DEA models with the use directional-distance measures (Branda, 2015) are equivalent to the n-th order of SD efficiency tests proposed by Post (2003) and Post & Kopa (2013).…”

Section: Comparison Of Proposed Methodology With Existing Methodologiesmentioning

confidence: 90%

On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty

Pinar

Stengos

Topaloglou

2020

European Journal of Operational Research

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There are infinitely many alternative benchmark weights that decision makers could choose to measure multidimensional poverty. To overcome the resulting uncertainty, we derive a feasible range of multidimensional poverty that considers all admissible weights within the chosen lower and upper bounds of weights. We use Kenyan and Canadian data to illustrate the use of our methodology, which is an adaptation of existing methods for portfolio analysis based on stochastic dominance. These two-empirical analyses suggest that different weights allocated to poverty dimensions can produce very different multidimensional poverty outcomes for a given population even in cases with small weight perturbations.

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Section: Comparison Of Proposed Methodology With Existing Methodologiesmentioning

confidence: 90%

On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty

Pinar

Stengos

Topaloglou

2020

European Journal of Operational Research

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“…Constraint (2) ensures that the whole wealth achieved at the end of time period t − 1 is reallocated between risky and riskless assets at the beginning of time period t. Constraint (1) describes wealth development during the investment horizon corresponding to specific investment decisions. Finally constraint (3) guarantees that short positions are not allowed.…”

Section: Model Formulationmentioning

confidence: 99%

“…To control the risk of the positions within the investment horizon we introduce multistage risk premium constraints. The constrains can be seen as an alternative to risk measures constraints, chance constraints or stochastic dominance constraints, see DOI: 10.14736/kyb-2017-6-0992 e. g. [2,4,9] or [10] for a recent application of these constraints. The advantage of the risk premium constraints is that risk premiums are directly related to (derived from) the utility function unlike risk measures or chance constraints.…”

Section: Introductionmentioning

confidence: 99%

Multistage risk premiums in portfolio optimization

Kopa¹,

Petrová²

2018

Kybernetika

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“…Although there are also other types of stochastic dominance 2 , the first order stochastic dominance (FSD) and the second order stochastic dominance (SSD) are commonly used in finance. Their formal definitions are as follows: 2 Post and Kopa (2013) and Branda and Kopa (2016) consider the general N-th order stochastic dominance.…”

Section: Theoretical Background Of Stochastic Dominancementioning

confidence: 99%

SSD Efficiency at Multiple Data Frequencies: Application on the OECD Countries

Uğurlu¹,

Taş²,

Güran³

et al. 2018

Prague Economic Papers

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The second order stochastic dominance (SSD) has become exceedingly popular in recent years, due to its ability to determine the dominance of one asset over another for all risk-averse investors without a strict requirement in asset distribution. In this study, 33 OECD country indexes and their enriched set of assets, which consists of some combinations of these indexes, are investigated and compared between 2007 and 2015 by utilizing pairwise SSD comparisons, with different data frequencies, such as daily, weekly, monthly and quarterly. This paper contributes to the literature in three points: Firstly, a serious portion of the best performing OECD countries has the lowest GDP (PPP) per capita level. Secondly, the SSD efficient set depends on data frequency. Thirdly, when the data frequency is lowered, the difference between two SSD pairwise efficiency tests decreases.

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DEA models equivalent to generalNth order stochastic dominance efficiency tests

Cited by 15 publications

References 13 publications

On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty

On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty

Multistage risk premiums in portfolio optimization

SSD Efficiency at Multiple Data Frequencies: Application on the OECD Countries

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