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DEA models equivalent to general imageth order stochastic dominance efficiency tests

Branda, Martin; Kopa, Miloš - In: Operations research letters 44 (2016) 2, pp. 285-289

Persistent link: https://www.econbiz.de/10011457629

Reformulations of input–output oriented DEA tests with diversification

Branda, Martin - In: Operations research letters 41 (2013) 5, pp. 516-520

Persistent link: https://www.econbiz.de/10010191971

Mean-value at risk portfolio efficiency : approaches based on data envelopment analysis models with negative data and their empirical behaviour

Branda, Martin - In: 4OR : a quarterly journal of operations research 14 (2016) 1, pp. 77-99

Persistent link: https://www.econbiz.de/10011698229

On relations between DEA-risk models and stochastic dominance efficiency tests

Branda, Martin; Kopa, Milos̆ - In: Central European journal of operations research : CEJOR … 22 (2014) 1, pp. 13-35

Persistent link: https://www.econbiz.de/10010231697

Risk-aversion in data envelopment analysis models with diversification

Adam, Lukáš; Branda, Martin - In: Omega : the international journal of management science 102 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012514499

Aggregate investor preferences and beliefs : a comment

Post, Thierry; Kopa, Miloš - In: Journal of empirical finance 23 (2013), pp. 187-190

Persistent link: https://www.econbiz.de/10010221754

Comparison of mean-risk efficient portfolios in Asia-Pacific capital markets

Kopa, Miloš; Tichý, Tomáš - In: Emerging markets finance & trade : a journal of the … 50 (2014) 1, pp. 226-240

Persistent link: https://www.econbiz.de/10010402573

A portfolio optimality test based on the first-order stochastic dominance criterion

Kopa, Miloš; Post, Thierry - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1103-1124

Persistent link: https://www.econbiz.de/10003938862

Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum

Post, Thierry; Kopa, Miloš - 2015

We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a refinement of an existing 'super-convex'...

Persistent link: https://www.econbiz.de/10011439453

Linear tests for decreasing absolute risk aversion stochastic dominance

Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629

Persistent link: https://www.econbiz.de/10011304114