Institute of Information Theory and Automation

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Bibliography

Conference Paper (international conference)

Influence of short sales and margin requirements on portfolio efficiency - a DEA-risk approach

Branda Martin

: International Scientific Conference Managing and Modelling of Financial Risks, p. 97-102

: International Scientific Conference Managing and Modelling of Financial Risks 2014 /7./, (Ostrava, CZ, 08.09.2014-09.09.2014)

: Financial efficiency, data envelopment analysis, margin requirements, CVaR deviation, short sales

: http://library.utia.cas.cz/separaty/2014/E/branda-0438604.pdf

(eng): We focus on efficiency of assets and portfolios available to investors on financial markets. We employ diversification consistent DEA-risk models with CVaR deviations as the inputs and expected rate of return as the output. Moreover, we allow short selling and take into account margin requirements. Our model is then employed in an empirical study where selected assets from US stock market are investigated. The sample approximation technique is used to deal with the multivariate skew-normal distribution of random returns.

: BB

2019-01-07 08:39