Abstract
We deal with data envelopment analysis models with diversification which can identify investment opportunities efficient with respect to several inputs and outputs represented by risk and return measures. Moreover, they enable to project the inefficient investment opportunity to the efficient frontier and suggest how to revise its structure. However, the current DEA models does not take into account the individual risk aversion of a particular investor. We will introduce several approaches based on the spectral risk measures which deal with this drawback. These approaches are then compared in the empirical study. Note that all considered models as well as risk aversion are consistent with the second order stochastic dominance.
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