Data envelopment analysis in financial services: a citations network analysis of banks, insurance companies and money market funds

Development and application of the data envelopment analysis (DEA) method, have been the subject of numerous reviews. In this paper, we consider the papers that apply DEA methods specifically to financial services, or which use financial services data to experiment with a newly introduced DEA model. We examine 620 papers published in journals indexed in the Web of Science database, from 1985 to April 2016. We analyse the sample applying citations network analysis. This paper investigates the DEA method and its applications in financial services. We analyse the diffusion of DEA in three sub-samples: (1) banking groups, (2) money market funds, and (3) insurance groups by identifying the main paths, that is, the main flows of the ideas underlying each area of research. This allows us to highlight the main approaches, models and efficiency types used in each research areas. No unique methodological preference emerges within these areas. Innovations in the DEA methodologies (network models, slacks based models, directional distance models and Nash bargaining game) clearly dominate recent research. For each subsample, we describe the geographical distribution of these studies, and provide some basic statistics related to the most active journals and scholars

Performance Evaluation of Portfolios with Margin Requirements

In financial markets, short sellers will be required to post margin to cover possible losses in case the prices of the risky assets go up. Only a few studies focus on the optimization and performance evaluation of portfolios in the presence of margin requirements. In this paper, we investigate the theoretical foundation of DEA (data envelopment analysis) approach to evaluate the performance of portfolios with margin requirements from a different perspective. Under the mean-variance framework, we construct the optimization model and portfolio possibility set on considering margin requirements. The convexity of the portfolio possibility set is proved and the concept of efficiency in classical economics is extended to the portfolio case. The DEA models are then developed to evaluate the performance of portfolios with margin requirements. Through the simulations carried out in the end, we show that, with adequate portfolios, DEA can be used as an effective tool in computing the efficiencies of portfolios with margin requirements for the performance evaluation purpose. This study can be viewed as a justification of DEA into performance evaluation of portfolios with margin requirements

Does deliberation matter?: the impact of the Bologna process on attitudes and policies in European higher education

This research analyses the impact of deliberative governance mechanisms on policy reforms. This mode of governance involves the direct participation of state and non-state actors in meetings, during which participants are open to the exchange of arguments about a particular policy space and to reaching an agreement which can be non-binding. This research develops the theoretical claim that deliberative governance has a significant impact on the cognitive aspect of domestic policies and in particular individual attitudes. It focuses on the Bologna process that has been at the heart of European-wide reforms of higher education and investigates three aspects. First, a survey of participants in the Bologna process shows how their attitudes have changed. Secondly, case studies of the Sorbonne and Bologna agreements of the 25th of May 1998 and the 19th of June 1999 investigate how those changes of attitudes and policies fit participants’ interests. Thirdly, a comparison between reforms in England and France (mid-1980s-2007) discusses how changes of attitudes relate to domestic policy changes. The study explores two mechanisms that have been widely held to facilitate reforms, namely ‘learning’ and ‘strategic use’. The study finds that participants are open to changing their perceptions and receiving information on policy options in deliberations if it fits their interests. Deliberations also help diffuse paradigms which facilitate domestic reforms. More importantly, deliberative governance obeys a certain hierarchy when influencing individual attitudes. It starts by changing the most instrumental attitudes. However, all attitudes are connected, leading to a spiralling effect toward attitude change concerning more fundamental domestic reforms. Deliberative governance therefore has the potential to create some convergence in certain policy areas. This research contributes to the relevant European integration literature on deliberative governance and policy change by drawing on theoretical insights from the wide literature on cognitive theories. It also adds to the specialist field of studies concerning the European higher education area