Analýza efektívnosti slovenských bánk využitím Stochastic Frontier Approach

Stochastic Non-Parametric Frontier Analysis

In this paper we develop an approach that synthesizes the best features of the two main methods in the estimation of production efficiency. Specically, our approach first allows for statistical noise, similar to Stochastic frontier analysis, and second, it allows modeling multiple-inputs-multiple-outputs technologies without imposing parametric assumptions on production relationship, similar to...

Evaluation Factors Affecting of Risk Production in Sistan Grape Growers by using Stochastic Frontier Approach

Due to agriculture is a risky activity and risk models is important in order to analyze the behavior of farmers, hence, in this study, the factors affecting risk-taking and risk aversion is the region grape growers. Data analysis was performed by using stochastic frontier. Data gathered by questionnaires at three counties of Zabol, Hirmand and Zahak at 265 grape farmers in crop year of 2011-201...

Stochastic Frontier Models

A new approach to stochastic frontier estimation: DEA+

The outcome of a production process might not only deviate from a theoretical maximum due to inefficiency, but also because of non-controllable influences. This raises the issue of reliability of Data Envelopment Analysis in noisy environments. I propose to assume an i.i.d. data generating process with bounded noise component, so that the following approach is feasible: Use DEA to estimate a ps...

Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach

The purpose of this paper is to identify ex ante fund statistics that can be related to future performance of European equity funds. In an efficient market setting, actively managed portfolios cannot outperform a passive benchmark strategy. However, purely by chance, some funds outperform their benchmark ex post, making the identification of performance determinants a difficult task. To allevia...