Publication at Faculty of Mathematics and Physics |
2013
Abstract
We deal with a problem of identifying efficient investment opportunities on financial markets. We access efficiency using mean-risk profile of the considered opportunities and show that Data Envelopment Analysis (DEA) can be useful tool for this purpose.
We propose a way how to sort the efficient investment opportunities, which is known as superefficiency approach from the DEA literature. We show that our method is related to the traditional mean-risk efficiency based on multiobjective optimization principles.
In the numerical study, we access efficiency and superefficiency of representative US industry stock portfolios.