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

作     者：LI Jun GAO Hengxuan LI Yongjun JIN Xi LIANG Liang LI Jun;GAO Hengxuan;LI Yongjun;JIN Xi;LIANG Liang

作者机构：School of ManagementUniversity of Science and Technology of ChinaHefei230026China School of ManagementHefei University of TechnologyHefei230009China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2022年第35卷第4期

页      面：1480-1499页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 07[理学] 020204[经济学-金融学（含∶保险学）] 070104[理学-应用数学] 0837[工学-安全科学与工程] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 

基　　金：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) the Fundamental Research Funds for the Central Universities(WK2040000027)。 

主　　题：Data envelopment analysis(DEA) multiple risk measures portfolio selection stock efficiency evaluation 

摘      要：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.