Portfolio Selection using Data Envelopment Analysis with common weights

الموضوعات :

A. علینژاد ¹ ( Islamic Azad University, Qazvin Branch, Department of Industrial Engineering )
M. Zohrebandian ² ( Islamic Azad University Karaj Branch, Department of Mathematics )
ف. دهدار ³ ( Islamic Azad University Qazvin Branch, Department of Industrial Engineering )

تاريخ الإرسال : 10 الإثنين , صفر, 1431 تاريخ التأكيد : 11 الخميس , ربيع الأول, 1431 تاريخ الإصدار : 15 الإثنين , ربيع الأول, 1431

الکلمات المفتاحية: DEA, Efficiency, Portfolio Selection, Common weights, MOLP,

ملخص المقالة :

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.

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