Who was the best in 2014 Winter Olympics: benchmarking in ‘The Economist’ and Tolstoy style

As a late followup to all the press, summarizing results of 2014 Winter Olympics, I decided to apply data envelopment analysis to find most efficient teams on 2014 Winter Olympics. I’ll use Benchmarking package to estimate efficiencies and ggplot2 + ggthemes to visualize it.Rplot07

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DEA-based rating of pension fund managers (E.Fedorova, A.Didenko)

Authors develop DEA model for assessing investment performance and calculate quarterly efficiency scores for 46 fund managers from Russian Federation, covering period 2004–2012. Subsequent analysis shows that higher scores come through low net asset value, high level of risk premiums and low level of expected losses. Key impacts to efficiency change are the level of diversification, relative market value of assets, and the age of management company.

(Published in Russian in “Economic Analysis: Theory and Practice” 40 (391), p.48-57)

Innovations as factor of absorptive capacity of FDI spillovers across regions of Russian Federation (A.Didenko, T.Egorova)

We study how innovations affect increase of regional TFP as a result of productivity spillovers from FDI, and confirm the presence of phenomenon in Russian data. We model TFP using DEA with the human capital, energy and and capital as inputs and the gross regional product as output. We develop innovations index for the regions of the RF, which proxies for regional absorptive capacity, based on 17 variables, characterizing economic, social and infrastructural aspects of regional development. FDI is measured as the the sum of ratios of sales of firms with FDI to the total sales in the region times squared distance to neighboring regions.

(Published in Review of Business and Economic Sciences, 2(3), September 2014)

What impacts efficiency of pension fund managers in Russia (E.Fedorova, A.Didenko, D.Sedykh.)

We use data envelopment analysis (DEA) to assess efficiency of 46 pension fund managers in Russia during 2004-2012. Our DEA model represents pension fund portfolio as decision making unit transforming risk, human and financial capital to active return and quality of diversification. We find that the highest impact to efficiency of pension funds have stock market returns, while interest rates, corporate debts, FX rate have lower impact, and energy prices have no impact at all. Bigger and more mature portfolios with higher share of equities and cash would have lower returns. Seasonal factor impact is also high with third quarter being the toughest for managers. We explain it by scale effects and constraints implied by funds’ investment declarations.

(Published in Russian in «Financial analytics: science and experience», ISSN 2073-4484, issue No. 33(219) – 2014 September)

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