sustainable investment analysis using bootstrap dea

This study aims to promote sustainable investment by assessing the performance of different financial assets using the stop-profit point (spp) approach for each asset. we use data envelopment analysis (dea) to evaluate this performance, contrasting the findings from both bootstrap dea and traditional methods that handle negative data. in our dea models, the risk measure is spp-cvar (conditional value at risk) while the output variable is the mean return. given that these factors can be random and the risk is assessed until the time an investor decides to exit, we noted the conventional dea method lacks statistical interpretation. therefore, we introduced the bootstrap dea technique to our evaluation. by repeatedly sampling the data, we can generate a performance measure distribution for every asset, offering a deeper insight into their performance and quantifying any uncertainties in the results.