Data Envelopment Analysis and Multifactor Asset Pricing Models

The Arbitrage Pricing Theory and Multifactor Models of Asset Returns*

Generalized Fuzzy Inverse Data envelopment Analysis Models

Traditional DEA models do not deal with imprecise data and assume that the data for all inputs and outputs are known exactly. Inverse DEA models can be used to estimate inputs for a DMU when some or all outputs and efficiency level of this DMU are increased or preserved. this paper studies the inverse DEA for fuzzy data. This paper proposes generalized inverse DEA in fuzzy data envelopment anal...

Comparing Asset Pricing Models

A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i.e., the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the rec...

Data Envelopment Analysis Models In The Presence Of Ratio Data and Non-Discretionary Factors

Efficiency of Centralized Structures in Data Envelopment Analysis Ratio Models

This paper investigates the centralized resource allocation with centralized structures by using the data envelopment analysis-ratio (DEA-R) models. To this end, it proposes a method to determine the resource allocation of centralized structures such that the ratio of inputs to outputs are minimized.