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Portfolio analysis with DEA: Prior to choosing a model

Author

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  • Albane Christine Tarnaud
  • Herve Leleu

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Albane Christine Tarnaud & Herve Leleu, 2018. "Portfolio analysis with DEA: Prior to choosing a model," Post-Print halshs-01720372, HAL.
    • Handle: RePEc:hal:journl:halshs-01720372
    DOI: 10.1016/j.omega.2017.02.003
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