Value-at-risk and data envelopment analysis: comments on Wu and Olson (2010)

摘要

In this note, we identify three major errors contained in Wu and Olson [Wu, D.D. and Olson, D., 2010. Enterprise risk management: a DEA VaR approach in vendor selection. International Journal of Production Research, 48 (16), 4919-4932]. It is shown that the 'DEA VaR' model named by the authors is not truly a Value-at-risk (VaR) minimisation problem. It is also pointed out that the authors confused two concepts of stochastic efficiency. Finally, it is revealed that the linearisation technique proposed by the authors is questionable under some conditions and a correction is suggested.