Risk-aversion in data envelopment analysis models with diversification

Adam，Lukáš1,2; Branda，Martin3

2020

10.1016/j.omega.2020.102338

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE   影响因子和分区

0305-0483

1873-5274

We deal with data envelopment analysis models with diversification which can identify investment opportunities efficient with respect to several inputs and outputs represented by risk and return measures. Moreover, they enable to project the inefficient investment opportunity to the efficient frontier and suggest how to revise its structure. However, the current DEA models does not take into account the individual risk aversion of a particular investor. We will introduce several approaches based on the spectral risk measures which deal with this drawback. These approaches are then compared in the empirical study. Note that all considered models as well as risk aversion are consistent with the second order stochastic dominance.

DEA Diversification Risk aversion Second order stochastic dominance Shadow risk spectrum Spectral risk measures

SCI ; SSCI

英语

其他

National Natural Science Foundation of China[61850410534] ; Grant Agency of the Czech Republic[19-28231X] ; OP RDE (OP VVV) funded project Research Center for Informatics[CZ02.1.01/0.0./0.0./16 019/0000765]

Business & Economics ; Operations Research & Management Science

Management ; Operations Research & Management Science

WOS:000640926400016

PERGAMON-ELSEVIER SCIENCE LTD

ECONOMICS BUSINESS

2-s2.0-85091220085

Scopus

1.Faculty of Electrical Engineering,Czech Technical University in Prague,Prague,Czech Republic
2.Department of Computer Science and Engineering,Southern University of Science and Technology,Shenzhen,China
3.Charles University Faculty of Mathematics and Physics,Department of Probability and Mathematical Statistics,Sokolovská 83, Prague 186 75,Czech Republic

Adam，Lukáš,Branda，Martin. Risk-aversion in data envelopment analysis models with diversification[J]. OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE,2020,102.

Adam，Lukáš,&Branda，Martin.(2020).Risk-aversion in data envelopment analysis models with diversification.OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE,102.

Adam，Lukáš,et al."Risk-aversion in data envelopment analysis models with diversification".OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE 102(2020).