Portfolio Selection using Data Envelopment Analysis with common weights

2010/01/25 by Alireza Alinezhad, Alinezhad, A., M. Zohrebandian +3
Decision Sciences · Engineering · #Efficiency Analysis Using DEA #Forecasting Techniques and Applications #Optimization and Mathematical Programming

paper · doi:10.82521/ijo.2012.1018933

Abstract

The stock evaluation process plays an important role in portfolio selectionbecause it is the prerequisite for investment and directly influences on the stockallocation. This paper presents a methodology based on Data EnvelopmentAnalysis for portfolio selection, decision making units which can be stocks orother financial assets. First, DMUs efficiencies are computed based oninput/output common weights, and then the generation of a portfolio is carried outby a mathematical model. Finally the methodology is illustrated numerically onthe market of Iran stock exchange.

Citations

• The Measurement of Productive Efficiency

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