Risk-Tabanlı VZA ve Stokastik Baskınlık Kriteri ile OECD Üyelerinin Hisse Senedi Endekslerinin Etkinliği
Open Access
- 25 March 2018
- journal article
- Published by Alphanumeric Journal in Alphanumeric Journal
- Vol. 6 (1), 25-36
- https://doi.org/10.17093/alphanumeric.345483
Abstract
A stock market index gives some illustrative information regarding the financial market. In this study, we are interested in stock indices efficiency of OECD member countries. We use Data Envelopment Analysis (DEA) methodology and Second Order Stochastic Dominance (SSD) Criteria as an efficiency metrics. DEA is a linear programming based technique for measuring the relative efficiency of homogenous decision making units by their input-output rates. In the Risk-Based DEA, traditional and modern risk measures are used as inputs of the model and the mean return as an output. We consider Conditional Value at Risk (CVaR) as a modern risk measure of financial asset returns. Another approach for the efficiency is Stochastic Dominance (SD) rule that takes into account the entire distribution of return, rather than the return distribution characteristics. There are several papers show that SSD constraints related to the CVaR constraints in an optimization model. Therefore, we compare Risk-Based DEA results with optimization problem with SSD constraints in the empirical study. We also test SSD efficiency of stock index pairs. The results are valuable for the asset managers who need to evaluate the performance of a stock index among others.Keywords
This publication has 19 references indexed in Scilit:
- Data envelopment analysis models of investment fundsEuropean Journal of Operational Research, 2012
- An enhanced model for portfolio choice with SSD criteria: a constructive approachQuantitative Finance, 2011
- Processing second-order stochastic dominance models using cutting-plane representationsMathematical Programming, 2009
- Portfolio selection under DEA-based relative financial strength indicators: case of US industriesJournal of the Operational Research Society, 2008
- A robust nonparametric approach to evaluate and explain the performance of mutual fundsEuropean Journal of Operational Research, 2006
- Portfolio construction based on stochastic dominance and target return distributionsMathematical Programming, 2006
- From stochastic dominance to mean-risk models: Semideviations as risk measuresEuropean Journal of Operational Research, 1999
- Efficiency of mutual funds and portfolio performance measurement: A non-parametric approachEuropean Journal of Operational Research, 1997
- Measuring the efficiency of decision making unitsEuropean Journal of Operational Research, 1978
- PORTFOLIO SELECTION*The Journal of Finance, 1952