Risks and efficiencies in firm games with state-contingent input–output technologies

Walter Briec and Stéphane Mussard ()
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Walter Briec: LAMPS - LAboratoire de Modélisation Pluridisciplinaire et Simulations - UPVD - Université de Perpignan Via Domitia
Stéphane Mussard: CHROME - Détection, évaluation, gestion des risques CHROniques et éMErgents (CHROME) - Nîmes Université - UNIMES - Nîmes Université, UM6P - Université Mohamed VI Polytechnique de Rabat, LISER - Luxembourg Institute of Socio-Economic Research

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Abstract: A model of state-contingent multi-input-output technologies, with a netput representation, is introduced to analyze different types of efficiencies. Overall efficiency allocative efficiency and technical efficiency are studied according to coalitions of firms in a firm game (being a cooperative TU-game). Different risks are investigated, inherent to either inputs or outputs, in order to measure their impacts on the different efficiencies. The risks imposed on the random direction of the directional distance function is axiomatically characterized to provide an operational functional form to measure efficiency under risks. An empirical application in portfolio management is presented, focusing on the performance evaluation of portfolios with different risk parameterization of the random direction.

Keywords: Allocative efficiency; Directional distance function; Firm games; Technical efficiency; Risks (search for similar items in EconPapers)
Date: 2025-11-26
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Published in Annals of Operations Research, 2025, ⟨10.1007/s10479-025-06950-9⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05460752

DOI: 10.1007/s10479-025-06950-9

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