Portfolio analysis with DEA: prior to choosing a model

Albane Tarnaud and Hervé Leleu

No 2016-EQM-05, Working Papers from IESEG School of Management

Abstract: This paper examines the definition of a technology and the choice of a model orientation prior to the analysis of portfolios of financial assets with Data Envelopment Analysis. We acknowledge the previous contributions in the field and provide answers to the questions raised in Cook, Tone & Zhu (2014). These answers allow to determine the purpose of the study and to define the underlying ‘financial’ technology through the identification of the decision-making units and the selection of input and output variables in a multi-moment framework. We also show their impact on the traditional set of axioms that further characterizes the technology and propose some adjustments to the traditional models. We provide illustrations to show the effects of such changes on the scores of technical efficiency and ranking of the portfolios.

Keywords: Data Envelopment Analysis; Portfolio Frontier; Model orientation; Mean-Variance; Risk preferences (search for similar items in EconPapers)
Pages: 25 pages
Date: 2016-03
New Economics Papers: this item is included in nep-cse
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Portfolio analysis with DEA: Prior to choosing a model (2018)
Working Paper: Portfolio analysis with DEA: Prior to choosing a model (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ies:wpaper:e201605

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