At the beginning of this thesis we discuss DEA methods, which measure efficiency of Decision Making Units by comparing weighted inputs and outputs. First we describe basic DEA models without random inputs and outputs then stochastic DEA models which are derived from the deterministic ones. We describe more approaches to stochastic DEA models, for example using scenario approach or chance constrained programming problems. Another approach for measuring efficiency employs stochastic dominance. Stochastic dominance is a relation that allows to compare two random variables. We describe the first and second order stochastic dominance. First we consider pairwise stochastic efficiency, then we discuss the first and second order stochastic dominance portfolio efficiency. We describe different tests to measure this type of efficiency. At the end of this thesis we study efficiency of US stock portfolios using real historical data and we compare results obtained when using stochastic DEA models and stochastic dominance. Powered by TCPDF (www.tcpdf.org)
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:341218 |
| Date | January 2014 |
| Creators | Majerová, Michaela |
| Contributors | Kopa, Miloš, Dupačová, Jitka |
| Source Sets | Czech ETDs |
| Language | Slovak |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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