Abstrakt
DEA-risk models with diversification are suitable for accessing efficiency of investment opportunities available on financial markets. One of the most important properties of these models is that the optimal solutions correspond to efficient investment opportunities, thus can be used by investors to revise their inefficient portfolios.
We focus on DEA models where Value at Risk serves as an input and we enable short sales under margin requirements. We discuss possible reformulations necessary to solve the resulting model.
The approach is demonstrated on real data from US stock market.