Traditional data envelopment analysis (DEA) and diversification DEA are two common data-driven evaluation approaches, which have been widely used in the estimation of portfolio efficiency. The above two DEA approaches usually use the risk and expected return indicators to build the input-output process of portfolios. However, this input-output process derived from the risk and expected return is inconsistent with the actual investment process, since the real input should be the initial wealth, and the output should be the terminal wealth. To address this problem, we propose a novel input-output process based on the initial and terminal wealth of portfolios. We transform the terminal wealth into the rate of return and construct a stochastic attainable set by using portfolio returns. We provide three deterministic estimation approaches to deal with the stochastic attainable set, and then obtain three deterministic attainable sets. We further propose three stochastic DEA models to estimate the portfolio efficiency by using the above three deterministic attainable sets. Finally, we provide an empirical analysis to assess the portfolio efficiency of 50 open-ended funds in China. The results show that there are some differences in the portfolio efficiency and its ranking between the proposed DEA models and the existing DEA models, which further verify the rationality of the proposed DEA models.
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DOI : 10.1051/ro/2022114
Keywords: Data envelopment analysis, portfolio efficiency, chance-constrained theory, mean-standard deviation criterion
@article{RO_2022__56_4_2367_0,
author = {Xiao, Helu and Liu, Xin and Ren, Tiantian and Zhou, Zhongbao},
title = {Estimation of portfolio efficiency \protect\emph{via} stochastic {DEA}},
journal = {RAIRO. Operations Research},
pages = {2367--2387},
year = {2022},
publisher = {EDP-Sciences},
volume = {56},
number = {4},
doi = {10.1051/ro/2022114},
mrnumber = {4458842},
language = {en},
url = {https://www.numdam.org/articles/10.1051/ro/2022114/}
}
TY - JOUR AU - Xiao, Helu AU - Liu, Xin AU - Ren, Tiantian AU - Zhou, Zhongbao TI - Estimation of portfolio efficiency via stochastic DEA JO - RAIRO. Operations Research PY - 2022 SP - 2367 EP - 2387 VL - 56 IS - 4 PB - EDP-Sciences UR - https://www.numdam.org/articles/10.1051/ro/2022114/ DO - 10.1051/ro/2022114 LA - en ID - RO_2022__56_4_2367_0 ER -
%0 Journal Article %A Xiao, Helu %A Liu, Xin %A Ren, Tiantian %A Zhou, Zhongbao %T Estimation of portfolio efficiency via stochastic DEA %J RAIRO. Operations Research %D 2022 %P 2367-2387 %V 56 %N 4 %I EDP-Sciences %U https://www.numdam.org/articles/10.1051/ro/2022114/ %R 10.1051/ro/2022114 %G en %F RO_2022__56_4_2367_0
Xiao, Helu; Liu, Xin; Ren, Tiantian; Zhou, Zhongbao. Estimation of portfolio efficiency via stochastic DEA. RAIRO. Operations Research, Tome 56 (2022) no. 4, pp. 2367-2387. doi: 10.1051/ro/2022114
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