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Efficiency evaluation of fuzzy portfolio in different risk measures via DEA

  • RAOTA-2016
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Abstract

In this paper, we discuss the fuzzy portfolio efficiency evaluation problem in different risk measures. Real frontier approach (RFA) is often used in portfolio performance assessment. However, the computation complexity and the real trading solution make it hard to achieve in practice. In this work, we first present three kinds of DEA (Data envelopment analysis) based fuzzy portfolio estimation models in different risk measures, i.e., possibilistic variance, possibilistic semi-variance, and possibilistic semi-absolute deviation, to evaluate the portfolio efficiency (PE). Furthermore, we carry out large amount of simulations with different sample sizes to compare our proposed models with RFA. All results demonstrate that with adequate sample size, the envelop frontier generated by our models can approximate the real effective portfolio frontier, and PE obtained by these two methods are highly related.

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Acknowledgements

Authors would like to thank the Editor and the anonymous reviewers for their valuable comments and detailed suggestions that have improved the presentation of this paper. The research of first and second authors is supported by the Humanity and Social Science Youth foundation of Ministry of Education of China (No. 13YJC630012). The second author also acknowledges the support by Graduate Science and Technology Innovation Foundation from the Capital University of Economics and Business, Beijing, China. Furthermore, the third author acknowledges the research support through Research and Development and DST PURSE-II grants from University of Delhi, Delhi, India.

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Authors and Affiliations

  1. School of Information, Capital University of Economics and Business, Beijing, China

    Wei Chen & Yuxi Gai

  2. Department of Operational Research, University of Delhi, Delhi, India

    Pankaj Gupta

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  1. Wei Chen
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  2. Yuxi Gai
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  3. Pankaj Gupta
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Correspondence to Wei Chen.

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Chen, W., Gai, Y. & Gupta, P. Efficiency evaluation of fuzzy portfolio in different risk measures via DEA. Ann Oper Res 269, 103–127 (2018). https://doi.org/10.1007/s10479-017-2411-9

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