Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale

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成果类型：

期刊论文

作者：

Xiao, Helu;Zhou, Zhongbao;Ren, Teng;Liu, Wenbin

通讯作者：

Zhongbao Zhou

作者机构：

[Xiao, Helu] Hunan Normal Univ, Sch Business, Changsha 410081, Peoples R China.

[Zhou, Zhongbao; Liu, Wenbin] Hunan Univ, Sch Business Adm, Changsha 410082, Peoples R China.

[Zhou, Zhongbao] Hunan Univ, Inst Data Sci & Decis Optimizat, Changsha 410082, Peoples R China.

[Ren, Teng] Cent South Univ Forestry & Technol, Sch Logist & Transportat, Changsha 410004, Peoples R China.

[Liu, Wenbin] Beijing Normal Univ, Zhuhai 519087, Peoples R China.

通讯机构：

[Zhongbao Zhou] S

School of Business Administration, Hunan University, Changsha 410082, China<&wdkj&>Institute of Data Science and Decision Optimization, Hunan University, Changsha 410082, China

语种：

英文

关键词：

Data envelopment analysis;Free disposal hull;Non-increasing returns to scale;Portfolio efficiency

期刊：

Omega

ISSN：

0305-0483

年：

2022

卷：

111

页码：

102672

DOI：

10.1016/j.omega.2022.102672

基金类别：

This research is supported by the National Natural Science Foundation of China (Nos. 71771082 and 71801091), Hunan Provincial Natural Science Foundation of China (No. 2020JJ5377), China Postdoctoral Science Foundation funded project (No. 2020M682577), Hunan Key Laboratory of Macroeconomic Big Data Mining and its Application, and Hunan Key Laboratory of Intelligent Decision-Making Technology for Emergency Management. In addition, this paper has benefited from the comments of the editor and reviewers.

机构署名：

本校为其他机构

院系归属：

交通运输与物流学院

摘要：

Traditional data envelopment analysis (DEA) for estimating the portfolio efficiency requires that the portfolio frontier (theoretical frontier) is concave to ensure that the DEA efficiency in probability converges to the portfolio efficiency as the portfolio sample increases. However, in practice, the DEA efficiency is likely to overestimate the portfolio efficiency because some nonconvex settings may cause the portfolio frontier to be nonconcave. In this paper, we employ a free disposal hull (FDH) estimator by combining the free disposability ...

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Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale

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