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Stock Efficiency Evaluation Based on Multiple Risk Measures: A DEA-Like Envelopment Approach

LI Jun1,2, GAO Hengxuan1,2, LI Yongjun1,2, JIN Xi1,2, LIANG Liang1,2   

  1. 1. School of Management, University of Science and Technology of China, Hefei 230026, China;
    2. School of Management, Hefei University of Technology, Hefei 230009, China
  • 收稿日期:2020-03-01 修回日期:2021-03-31 出版日期:2022-08-25 发布日期:2022-08-02
  • 作者简介:LI Jun,Email:59844089@qq.com;GAO Hengxuan,Email:84108049@qq.com;LI Yongjun,Email:lionli@ustc.edu.cn;JIN Xi,Email:isxjin@mail.ustc.edu.cn; LIANG Liang,Email:lliang@ustc.edu.cn
  • 基金资助:
    This paper was supported by the National Natural Science Foundation of China under Grant Nos. 72071192, 71671172, the Anhui Provincial Quality Engineering Teaching and Research Project Under Grant No. 2020jyxm2279, the Anhui University and Enterprise Cooperation Practice Education Base Project under Grant No. 2019sjjd02, Teaching and Research Project of USTC (2019xjyxm019, 2020ycjg08), and the Fundamental Research Funds for the Central Universities (WK2040000027).

LI Jun, GAO Hengxuan, LI Yongjun, JIN Xi, LIANG Liang. Stock Efficiency Evaluation Based on Multiple Risk Measures: A DEA-Like Envelopment Approach[J]. 系统科学与复杂性, 2022, 35(4): 1480-1499.

LI Jun, GAO Hengxuan, LI Yongjun, JIN Xi, LIANG Liang. Stock Efficiency Evaluation Based on Multiple Risk Measures: A DEA-Like Envelopment Approach[J]. Journal of Systems Science and Complexity, 2022, 35(4): 1480-1499.

Stock Efficiency Evaluation Based on Multiple Risk Measures: A DEA-Like Envelopment Approach

LI Jun1,2, GAO Hengxuan1,2, LI Yongjun1,2, JIN Xi1,2, LIANG Liang1,2   

  1. 1. School of Management, University of Science and Technology of China, Hefei 230026, China;
    2. School of Management, Hefei University of Technology, Hefei 230009, China
  • Received:2020-03-01 Revised:2021-03-31 Online:2022-08-25 Published:2022-08-02
  • Supported by:
    This paper was supported by the National Natural Science Foundation of China under Grant Nos. 72071192, 71671172, the Anhui Provincial Quality Engineering Teaching and Research Project Under Grant No. 2020jyxm2279, the Anhui University and Enterprise Cooperation Practice Education Base Project under Grant No. 2019sjjd02, Teaching and Research Project of USTC (2019xjyxm019, 2020ycjg08), and the Fundamental Research Funds for the Central Universities (WK2040000027).
This paper proposes a new approach for stock efficiency evaluation based on multiple risk measures. A derived programming model with quadratic constraints is developed based on the envelopment form of data envelopment analysis (DEA). The derived model serves as an input-oriented DEA model by minimizing inputs such as multiple risk measures. In addition, the Russell input measure is introduced and the corresponding efficiency results are evaluated. The findings show that stock efficiency evaluation under the new framework is also effective. The efficiency values indicate that the portfolio frontier under the new framework is more externally enveloped than the DEA efficient surface under the standard DEA framework.
This paper proposes a new approach for stock efficiency evaluation based on multiple risk measures. A derived programming model with quadratic constraints is developed based on the envelopment form of data envelopment analysis (DEA). The derived model serves as an input-oriented DEA model by minimizing inputs such as multiple risk measures. In addition, the Russell input measure is introduced and the corresponding efficiency results are evaluated. The findings show that stock efficiency evaluation under the new framework is also effective. The efficiency values indicate that the portfolio frontier under the new framework is more externally enveloped than the DEA efficient surface under the standard DEA framework.
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