Portfolio Performance Assessment Based on a Mixed (Economic-Accounting) Approach and Data Envelopment Analysis (DEA)

Subject Areas : Journal of Investment Knowledge

Fatemeh Dadbeh ¹ , Maryam khalili araghi ²

1 - Ph.D. student of financial management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran
2 - Assistant professor and faculty member of Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran

Received: 2018-12-26 Accepted : 2019-01-14 Published : 2020-12-21

Keywords: Data envelopment analysis (DEA), Portfolio Efficiency, Mixed (Economic-Accounting) Approach,

Abstract :

The performance evaluation of optimal portfolio selection as an important matter for all investors involves creating portfolios that maximize investor utility. Determining an appropriate approach to performance evaluation of portfolio efficiency is one of the most important current issues in the field of investment management. Several portfolio assessment techniques have always been concerned by researchers and financial analysts. Therefore, in selecting the evaluation criteria, one cannot select an investment project solely on the basis of its high returns. Portfolio performance evaluation models presented by focusing upon both risk and return are not based on the fundamental approach to financial elements. Therefore, this study addresses the portfolio performance assessment based on a mixed (economic-accounting) approach and using data envelopment analysis (DEA) as the multipurpose modeling. The results show that the accounting approach is more efficient than the economic approach and the combined approach.

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