Portfolio Selection using Data Envelopment Analysis with common weights
محورهای موضوعی : Data Envelopment AnalysisA. Alinezhad 1 , M. Zohrebandian 2 , F. Dehdar 3
1 - Islamic Azad University, Qazvin Branch, Department of Industrial Engineering
2 - Islamic Azad University Karaj Branch, Department of Mathematics
3 - Islamic Azad University Qazvin Branch, Department of Industrial Engineering
کلید واژه: DEA, Efficiency, Portfolio Selection, Common weights, MOLP,
چکیده مقاله :
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.
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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