We propose new efficiency tests which are based on traditional DEA models and take into account portfolio diversification. The goal is to identify the investment opportunities that perform well without specifying our attitude to risk. We use general deviation measures as the inputs and return...

We develop and implement linear formulations of general Nth order stochastic dominance criteria for discrete probability distributions. Our approach is based on a piece-wise polynomial representation of utility and its derivatives and can be implemented by solving a relatively small system of...

Solutions of portfolio optimization problems are often influenced by a model misspecification or by errors due to approximation, estimation and incomplete information. The obtained results, recommendations for the risk and portfolio manager, should be then carefully analyzed. We shall deal with...