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Abstract
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.
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Acknowledgements
The authors thank the referee for his (her) comments and suggestions. The second author also thanks the Academic Partners Program (APP) of FICO for providing Xpress-MP. The first author was supported by the China Postdoctoral Science Foundation under Grant 20100480269. The first version of this article was written while the second author visited the School of Economics and Management at Tsinghua University, Beijing, China.