Performance evaluation of portfolios with fuzzy returns

2019 ◽  
Vol 53 (5) ◽  
pp. 1581-1600 ◽  
Author(s):  
Zhongbao Zhou ◽  
Enming Chen ◽  
Helu Xiao ◽  
Tiantian Ren ◽  
Qianying Jin
Keyword(s):  
Fuzzy Theory ◽  
Evaluation Model ◽  
Data Envelopment ◽  
Terminal Wealth ◽  
Portfolio Efficiency ◽  
Dea Models ◽  
Initial Wealth ◽  
Investment Process ◽  
Desirable And Undesirable Outputs ◽  
The Relationship

The existing literature on DEA (Data Envelopment Analysis) for evaluating fuzzy portfolios usually takes risk as an input and return as an output. This assumption is actually not congruent with the real investment process, where the input is the initial wealth and the output is the corresponding terminal wealth. As for the risk and return, which are essentially two indicators derived from the terminal wealth, both should be regarded as outputs. In addition, few studies have employed the diversification model (nonlinear DEA) to estimate the fuzzy portfolio efficiency (PE), despite the fact that there are many studies available within the framework of classical probability theory. Further, the relationship between DEA and diversification models needs to be defined. In this paper, we take the initial wealth as an input, while the return and risk of terminal wealth are taken as desirable and undesirable outputs, respectively. We construct different evaluation models under the fuzzy portfolio framework. The relationships among the evaluation model based on a real frontier, the diversification model and the DEA model are investigated. We show the convergence of the diversification and DEA models under the fuzzy theory framework. Some simulations as well as empirical analysis are presented to further verify the effectiveness of the proposed models. Finally, we check the robustness of the evaluation results by using the bootstrap re-sampling approach.

DEA Models for Parallel Systems: Game-Theoretic Approaches

2015 ◽  
Vol 32 (02) ◽  
pp. 1550008 ◽  
Author(s):  
Juan Du ◽  
Joe Zhu ◽  
Wade D. Cook ◽  
Jiazhen Huo
Keyword(s):  
Black Box ◽  
Data Envelopment ◽  
System Efficiency ◽  
Data Set ◽  
Dea Models ◽  
Game Theoretic ◽  
Work Shifts ◽  
The Relationship ◽  
Relevant Component ◽  
Plant Efficiency

In many settings, systems are composed of a group of independent sub-units. Each sub-unit produces the same set of outputs by consuming the same set of inputs. Conventional data envelopment analysis (DEA) views such a system as a "black-box", and uses the sum of the respective inputs and outputs of all relevant component units to calculate the system efficiency. Various DEA-based models have been developed for decomposing the overall efficiency. This paper further investigates this kind of structure by using the cooperative (or centralized) and non-cooperative (Stackelberg or leader–follower) game theory concepts. We show that the existing DEA approaches can be viewed as a centralized model that optimizes the efficiency scores of all sub-units jointly. The proposed leader–follower model will be useful when the priority sequence is available for sub-units. Consider, for example, the evaluation of relative efficiencies of a set of manufacturing facilities where multiple work shifts are operating. Management may wish to determine not only the overall plant efficiency, but as well, the performance of each shift in some priority sequence. The relationship between the system efficiency and component efficiencies is also explored. Our approaches are demonstrated with an example whose data set involves the national forests of Taiwan.

Fuzzy ANP and DEA approaches for analyzing the human development and competitiveness relation

2020 ◽  
Vol 39 (5) ◽  
pp. 6629-6643
Author(s):  
Hakan Kılıç ◽  
Özgür Kabak
Keyword(s):  
Human Development ◽  
Causal Relation ◽  
Composite Index ◽  
Analytic Network Process ◽  
Data Envelopment ◽  
Bilateral Relations ◽  
Network Process ◽  
Dea Models ◽  
Key Dimensions ◽  
The Relationship

Human development and competitiveness have a causal relation. However, the literature is not clear on which one affects the other. This study investigates the bilateral relation between human development and competitiveness. For this purpose, initially, Fuzzy Analytic Network Process (FANP) is utilized to develop a composite index based on the relative importance weights of respective human development and competitiveness drivers. By FANP, the effects of key dimensions of human development and indexes of competitiveness on each other are taken into account. Subsequently, countries’ efficiencies on converting their human development to competitiveness and inversely, competitiveness to human development is measured by Data Envelopment Analysis (DEA). Two different DEA models are developed to consider the bilateral relations. 45 countries are evaluated using both FANP and DEA models. Finally, the results are synthesized to reveal the direction of the relationship. It is found that the effect of competitiveness on human development is more significant than the effect of human development on competitiveness.

scholarly journals The Theoretical Relationship between the CCR Model and the Two-Stage DEA Model with an Application in the Efficiency Analysis of the Financial Industry

Symmetry ◽  
2020 ◽  
Vol 12 (5) ◽  
pp. 712
Author(s):  
Ming-Chi Tsai ◽  
Ching-Hsue Cheng ◽  
Van Trung Nguyen ◽  
Meei-Ing Tsai
Keyword(s):  
Insurance Companies ◽  
Data Envelopment ◽  
Financial Industry ◽  
Two Stage ◽  
Theoretical Relationship ◽  
Dea Model ◽  
Bank Branches ◽  
Dea Models ◽  
The Relationship ◽  
Ccr Model

Since Charnes, Cooper, and Rhodes introduced data envelopment analysis (DEA) in 1978, later called the DEA-CCR model, many studies applied this technique to different fields. Based on the original CCR model, many modified DEA models were developed by researchers. Since 1999, Seiford and Zhu presented a two-stage DEA model. Later, these models were widely used in many studies. However, the relationship between the efficiency scores that are obtained from the original CCR model and the two-stage DEA model remains unknown. To fill this gap, this study proposed a theoretical relationship between the efficiency scores that are calculated from the two-stage DEA model and those that are obtained from the original CCR model. How the sets of nonsymmetrical weights affected the efficiency scores were also investigated. Theorems regarding the relationship were developed, and then the model was utilized to evaluate the two-stage efficiency scores of the insurance companies (non-life) and bank branches. The results show that using a two-stage DEA model can get more information about operational efficiency than the traditional CCR model does. The findings from this study about the two-stage DEA technique can provide significant reasons for using this model to evaluate performance efficiency.

scholarly journals Robust data envelopment analysis via ellipsoidal uncertainty sets with application to the Italian banking industry

2020 ◽  
Vol 43 (2) ◽  
pp. 491-518
Author(s):  
Emmanuel Kwasi Mensah
Keyword(s):  
Classification Scheme ◽  
Banking Industry ◽  
Data Envelopment ◽  
Uncertainty Sets ◽  
New Models ◽  
Dea Models ◽  
Uncertainty Set ◽  
Ellipsoidal Uncertainty ◽  
The Relationship ◽  
Decision Making Units

AbstractThis paper extends the conventional DEA models to a robust DEA (RDEA) framework by proposing new models for evaluating the efficiency of a set of homogeneous decision-making units (DMUs) under ellipsoidal uncertainty sets. Four main contributions are made: (1) we propose new RDEA models based on two uncertainty sets: an ellipsoidal set that models unbounded and correlated uncertainties and an interval-based ellipsoidal uncertainty set that models bounded and correlated uncertainties, and study the relationship between the RDEA models of these two sets, (2) we provide a robust classification scheme where DMUs can be classified into fully robust efficient, partially robust efficient and robust inefficient, (3) the proposed models are extended to the additive DEA model and its efficacy is analyzed with two imprecise additive DEA models in the literature, and finally, (4) we apply the proposed models to study the performance of banks in the Italian banking industry. We show that few banks which were resilient in their performance can be robustly classified as partially efficient or fully efficient in an uncertain environment.

scholarly journals Undesirable Outputs’ Presence in Centralized Resource Allocation Model

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Ghasem Tohidi ◽  
Hamed Taherzadeh ◽  
Sara Hajiha
Keyword(s):  
Resource Allocation ◽  
Data Envelopment ◽  
Undesirable Outputs ◽  
Numerical Illustration ◽  
Allocation Model ◽  
Proposed Model ◽  
Dea Models ◽  
The Individual ◽  
Desirable And Undesirable Outputs ◽  
Theoretical Foundations

Data envelopment analysis (DEA) is a common nonparametric technique to measure the relative efficiency scores of the individual homogenous decision making units (DMUs). One aspect of the DEA literature has recently been introduced as a centralized resource allocation (CRA) which aims at optimizing the combined resource consumption by all DMUs in an organization rather than considering the consumption individually through DMUs. Conventional DEA models and CRA model have been basically formulated on desirable inputs and outputs. The objective of this paper is to present new CRA models to assess the overall efficiency of a system consisting of DMUs by using directional distance function when DMUs produce desirable and undesirable outputs. This paper initially reviewed a couple of DEA approaches for measuring the efficiency scores of DMUs when some outputs are undesirable. Then, based upon these theoretical foundations, we develop the CRA model when undesirable outputs are considered in the evaluation. Finally, we apply a short numerical illustration to show how our proposed model can be applied.

scholarly journals An Investigation of Country Efficiencies as to Human Development Index Variables

2015 ◽  
Author(s):  
Selim Başar ◽  
Murat Eren ◽  
Miraç Eren
Keyword(s):  
Human Development ◽  
Human Development Index ◽  
Developed Countries ◽  
Data Envelopment ◽  
Important Research ◽  
Effective Utilization ◽  
Development Index ◽  
Dea Models ◽  
The Developed Countries ◽  
The Relationship

Inability to resolve a number of social problems in the developed countries has brought forward the relationship between economic growth and human development in the research agenda. One of the important research carried out in this context has been the calculation of the Human Development Index (HDI). The aim of this study is to measure the relative efficiencies of each country in each group of countries ranked as to their HDI Index values by evaluating each group in itself and to recommend policies for effective utilization of their resources. Non-input radial-based Data Envelopment Analysis (DEA) models, in which the efficiency measured only by utilizing output variables, was employed for this aim. Life expectancy, education and GDP indices used in calculation of HDI were used as output variables for the estimations.

Relative Efficiency of Decision Making Units Producing Both Desirable and Undesirable Outputs: A Case of Textile Processing Units in Pakistan.

2011 ◽  
Vol 50 (4II) ◽  
pp. 685-698
Author(s):  
Samina Khalil
Keyword(s):  
Decision Making ◽  
Data Envelopment Analysis ◽  
Relative Efficiency ◽  
Value Added ◽  
Data Envelopment ◽  
Undesirable Outputs ◽  
Textile Processing ◽  
Decision Making Unit ◽  
Desirable And Undesirable Outputs ◽  
Decision Making Units

This paper aims at measuring the relative efficiency of the most polluting industry in terms of water pollution in Pakistan. The textile processing is country‘s leading sub sector in textile manufacturing with regard to value added production, export, employment, and foreign exchange earnings. The data envelopment analysis technique is employed to estimate the relative efficiency of decision making units that uses several inputs to produce desirable and undesirable outputs. The efficiency scores of all manufacturing units exhibit the environmental consciousness of few producers is which may be due to state regulations to control pollution but overall the situation is far from satisfactory. Effective measures and instruments are still needed to check the rising pollution levels in water resources discharged by textile processing industry of the country. JEL classification: L67, Q53 Keywords: Data Envelopment Analysis (DEA), Decision Making Unit (DMU), Relative Efficiency, Undesirable Output

scholarly journals The Application of Fuzzy Theory in the Evaluation of Visual Images of Smartphone Rear Cameras

2021 ◽  
Vol 11 (8) ◽  
pp. 3555
Author(s):  
Chien-Hsiung Chen ◽  
Zhongzhen Lin
Keyword(s):  
Factor Analysis ◽  
Fuzzy Numbers ◽  
Fuzzy Theory ◽  
Consumer Perceptions ◽  
Visual Images ◽  
Triangular Fuzzy Numbers ◽  
Potential Consumer ◽  
Comprehensive Comparison ◽  
Different Shapes ◽  
The Relationship

In the present era, technology is developing rapidly. Smartphones play a significant part in people’s lives. However, the research on smartphones mainly focuses on the area of technological realization. The purposes of this study were to examine the relationship between the various rear cameras in smartphones and consumer perceptions, and to understand consumers’ purchasing intentions and preferences. Through the methods of multidimensional scaling (MDS), factor analysis and triangular fuzzy numbers, the visual images of the smartphone rear cameras were analyzed and discussed. The results indicate that the visual images taken by different shapes of rear camera are quite distinct in the categories of innovative and fashionable, and simple and pure, but less distinct in the categories of harmonious and ordered, premium and technical, and superior and valuable. Through a comprehensive comparison, four groups whose images were similar were created. The outcome effectively reflects the potential consumer demands for smartphone rear camera patterns, providing insights for design practices in the smartphone industry.

scholarly journals Effect of Curriculum Planning for Physical Education in Colleges on Innovation Ability

2020 ◽  
Vol 15 (12) ◽  
pp. 103
Author(s):  
Huiqiu Guo
Keyword(s):  
Physical Education ◽  
Fuzzy Theory ◽  
Evaluation Model ◽  
Curriculum Planning ◽  
Practical Significance ◽  
Fuzzy Evaluation ◽  
Promoting Effect ◽  
Innovation Ability ◽  
Fuzzy Evaluation Model ◽  
Current Curriculum

With poor integrity and unclear goals, the curriculum planning for physical education (PE) in colleges cannot effectively promote the innovation ability of students. To solve the problem, this paper attempts to clearly evaluate the effect of curriculum planning for college PE on the innovation ability of PE majors. Based on the defects of the current curriculum planning, the authors put forward several strategies and suggestions to enhance the promoting effect of college PE curriculum planning on innovation ability. Following the fuzzy theory, an index system and a fuzzy evaluation model were put forward to quantify the effect of college PE curriculum planning on innovation ability. The research results have great theoretical and practical significance.

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