華師經管學術講座第426期（管理）
【題目】Estimation of portfolio efficiency in nonconvex settings: A free disposal hull estimator with non-increasing returns to scale
【時間】2022年12月6日（周二）16:00
【地點】騰訊會議：415-119-513，會議密碼：888888
【主講人】周忠寶
【主持人】張鵬
【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.
【主講人簡介】周忠寶，湖南大學“岳麓學者”特聘教授，博士生導師，現任湖南大學工商管理學院副院長。 湖南省“芙蓉學者”特聘教授、湖南省杰出青年科學基金獲得者、教育部來華留學英文授課品牌課程負責人、應急管理智能決策技術湖南省重點實驗室主任、湖南省青年骨干教師、博士后特別資助獲得者、湖南省優秀碩士學位論文指導教師。獲國家教學成果二等獎1項，湖南省教學成果一等獎3項、寶鋼優秀教師獎、全軍優秀碩士學位論文獎、湖南大學科研標兵、湖南大學優秀教師等多項獎勵。教育部創新團隊、湖南省自然科學基金創新研究群體核心成員，主持國家自然科學基金項目4項，省部級項目10余項。在OMEGA、European Journal of Operational Research、IEEE Transactions on Evolutionary Computation、Reliability Engineering and System Safety、Annals of Operations Research、管理科學學報、中國管理科學等期刊發表論文100余篇，出版專著2部、國家級規劃教材1部。兼任教育部電子商務類專業教學指導委員會委員、湖南省系統工程與管理學會理事長、湖南省系統仿真學會理事長、湖南省高等教育學會電子商務教育專業委員會理事長等。OMEGA、European Journal of Operational Research等30余份國際知名學術期刊審稿人。