Issue |
RAIRO-Oper. Res.
Volume 56, Number 4, July-August 2022
|
|
---|---|---|
Page(s) | 2367 - 2387 | |
DOI | https://doi.org/10.1051/ro/2022114 | |
Published online | 29 July 2022 |
Estimation of portfolio efficiency via stochastic DEA
1
School of Business, Hunan Normal University, Changsha 410081, P.R. China
2
School of Business Administration, Hunan University, Changsha 410082, P.R. China
3
Institute of Data Science and Decision Optimization, Hunan University, Changsha 410082, P.R. China
* Corresponding author: ttren@hnu.edu.cn (T.Ren); xiaohelu1986@163.com (H.Xiao)
Received:
20
May
2021
Accepted:
28
June
2022
Traditional data envelopment analysis (DEA) and diversification DEA are two common data-driven evaluation approaches, which have been widely used in the estimation of portfolio efficiency. The above two DEA approaches usually use the risk and expected return indicators to build the input-output process of portfolios. However, this input-output process derived from the risk and expected return is inconsistent with the actual investment process, since the real input should be the initial wealth, and the output should be the terminal wealth. To address this problem, we propose a novel input-output process based on the initial and terminal wealth of portfolios. We transform the terminal wealth into the rate of return and construct a stochastic attainable set by using portfolio returns. We provide three deterministic estimation approaches to deal with the stochastic attainable set, and then obtain three deterministic attainable sets. We further propose three stochastic DEA models to estimate the portfolio efficiency by using the above three deterministic attainable sets. Finally, we provide an empirical analysis to assess the portfolio efficiency of 50 open-ended funds in China. The results show that there are some differences in the portfolio efficiency and its ranking between the proposed DEA models and the existing DEA models, which further verify the rationality of the proposed DEA models.
Mathematics Subject Classification: 90B30 / 90B50 / 90C05 / 90C30
Key words: Data envelopment analysis / portfolio efficiency / chance-constrained theory / mean-standard deviation criterion
© The authors. Published by EDP Sciences, ROADEF, SMAI 2022
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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