Institute of Information Theory and Automation

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Publication details

DEA models equivalent to general Nth order stochastic dominance efficiency tests

Journal Article

Branda Martin, Kopa Miloš

serial: Operations Research Letters vol.44, 2 (2016), p. 285-289

project(s): GA13-25911S, GA ČR, GA15-00735S, GA ČR, GA15-02938S, GA ČR

keywords: Nth order stochastic dominance efficiency, Data envelopment analysis, Convex NSD efficiency, NSD portfolio efficiency

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abstract (eng):

We introduce data envelopment analysis (DEA) models equivalent to efficiency tests with respect to the Nth order stochastic dominance (NSD). In particular, we focus on strong and weak variants of convex NSD efficiency and NSD portfolio efficiency. The proposed DEA models are in relation with strong and weak Pareto–Koopmans efficiencies and employ Nth order lower and co-lower partial moments.


bocek: 2012-12-21 16:10