【题目】Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale

【时间】2022年12月6日（周二）16:00
【地点】腾讯会议：415-119-513，会议密码：888888

【主讲人】周忠宝

【主持人】张鹏

【摘要】Traditional data envelopment analysis (DEA) for estimating the portfolio efficiency requires that the portfolio frontier (theoretical frontier) is concave to ensure that the DEA efficiency in probability converges to the portfolio efficiency as the portfolio sample increases. However, in practice, the DEA efficiency is likely to overestimate the portfolio efficiency because some nonconvex settings may cause the portfolio frontier to be nonconcave. In this paper, we employ a free disposal hull (FDH) estimator by combining the free disposability and non-increasing returns to scale (NIRS) assumptions, namely FDH-NIRS estimator, to explore its theoretical nature and applications in the estimation of portfolio efficiency. First, we apply the directional distance function (DDF) to develop the portfolio frontier-, DEA-, FDH-, and FDH-NIRS-based models in the mean and value-at-risk (VaR) framework, and also show the differences between these models. Second, we transform the FDH-NIRS model into a linear equivalence model and further demonstrate that the FDH-NIRS efficiency in probability converges to the portfolio efficiency. Third, we extend the FDH-NIRS estimator to the framework of multiple return and risk measures with the purpose of showing its generalizability. Finally, we verify the validity of the proposed model and estimator by simulations.

【主讲人简介】周忠宝，湖南大学“岳麓学者”特聘教授，博士生导师，现任湖南大学工商管理学院副院长。 湖南省“芙蓉学者”特聘教授、湖南省杰出青年科学基金获得者、教育部来华留学英文授课品牌课程负责人、应急管理智能决策技术湖南省重点实验室主任、湖南省青年骨干教师、博士后特别资助获得者、湖南省优秀硕士学位论文指导教师。获国家教学成果二等奖1项，湖南省教学成果一等奖3项、宝钢优秀教师奖、全军优秀硕士学位论文奖、湖南大学科研标兵、湖南大学优秀教师等多项奖励。教育部创新团队、湖南省自然科学基金创新研究群体核心成员，主持国家自然科学基金项目4项，省部级项目10余项。在OMEGA、European Journal of Operational Research、IEEE Transactions on Evolutionary Computation、Reliability Engineering and System Safety、Annals of Operations Research、管理科学学报、中国管理科学等期刊发表论文100余篇，出版专著2部、国家级规划教材1部。兼任教育部电子商务类专业教学指导委员会委员、湖南省系统工程与管理学会理事长、湖南省系统仿真学会理事长、湖南省高等教育学会电子商务教育专业委员会理事长等。OMEGA、European Journal of Operational Research等30余份国际知名学术期刊审稿人。