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)
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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