Abstract
The paper compares two efficiency approaches: Data Envelopment Analysis (DEA) and Second Order Stochastic Dominance (SSD) efficiency. As DEA inputs, we use several risk measures and functionals which quantify a risk of the indices.
As the only DEA output, expected return is considered. Using Second Order Stochastic Dominance criteria, we test pairwise efficiency as well as portfolio efficiency allowing full diversification across the assets.