Diversification-consistent DEA-risk tests - solution techniques and an empirical comparison

Abstrakt

We propose numerically tractable formulations of the diversification-consistent DEA tests, which generalize traditional DEA tests as well as mean-risk models. We employ general deviation measures to measure risk of the investment opportunities.

We will compare strength of the tests and give characterizations of efficient and inefficient investment opportunities. US industry representative portfolios will be ranked using the proposed DEA tests.

Klíčová slova

• Data envelopment analysis
• diversification
• deviation measures
• efficiency
• US industry representative portfolios