華師經(jīng)管學(xué)術(shù)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(shí)間】2022年12月6日（周二）16:00
【地點(diǎn)】騰訊會(huì)議：415-119-513，會(huì)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(jiǎn)介】周忠寶，湖南大學(xué)“岳麓學(xué)者”特聘教授，博士生導(dǎo)師，現(xiàn)任湖南大學(xué)工商管理學(xué)院副院長(zhǎng)。 湖南省“芙蓉學(xué)者”特聘教授、湖南省杰出青年科學(xué)基金獲得者、教育部來(lái)華留學(xué)英文授課品牌課程負(fù)責(zé)人、應(yīng)急管理智能決策技術(shù)湖南省重點(diǎn)實(shí)驗(yàn)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(yōu)秀碩士學(xué)位論文指導(dǎo)教師。獲國(guó)家教學(xué)成果二等獎(jiǎng)1項(xiàng)，湖南省教學(xué)成果一等獎(jiǎng)3項(xiàng)、寶鋼優(yōu)秀教師獎(jiǎng)、全軍優(yōu)秀碩士學(xué)位論文獎(jiǎng)、湖南大學(xué)科研標(biāo)兵、湖南大學(xué)優(yōu)秀教師等多項(xiàng)獎(jiǎng)勵(lì)。教育部創(chuàng)新團(tuán)隊(duì)、湖南省自然科學(xué)基金創(chuàng)新研究群體核心成員，主持國(guó)家自然科學(xué)基金項(xiàng)目4項(xiàng)，省部級(jí)項(xiàng)目10余項(xiàng)。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(xué)學(xué)報(bào)、中國(guó)管理科學(xué)等期刊發(fā)表論文100余篇，出版專著2部、國(guó)家級(jí)規(guī)劃教材1部。兼任教育部電子商務(wù)類專業(yè)教學(xué)指導(dǎo)委員會(huì)委員、湖南省系統(tǒng)工程與管理學(xué)會(huì)理事長(zhǎng)、湖南省系統(tǒng)仿真學(xué)會(huì)理事長(zhǎng)、湖南省高等教育學(xué)會(huì)電子商務(wù)教育專業(yè)委員會(huì)理事長(zhǎng)等。OMEGA、European Journal of Operational Research等30余份國(guó)際知名學(xué)術(shù)期刊審稿人。