portfolio selection using data envelopment analysis with common weights

Portfolio Selection using Data Envelopment Analysis with common weights

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output com...

COMMON WEIGHTS DETERMINATION IN DATA ENVELOPMENT ANALYSIS

In models of data envelopment analysis (DEA), an optimal set of weights is generally assumed to represent the assessed decision making unit (DMU) in the best light in comparison to all the other DMUs, and so there is an optimal set of weights corresponding to each DMU. The present paper, proposes a three stage method to determine one common set of weights for decision making units. Then, we use...

Measuring congestion in data envelopment analysis with common weights

Common weights determination in data envelopment analysis

In models of data envelopment analysis (DEA), an optimal set of weights is generally assumed to represent the assessed decision making unit(DMU) in the best light in comparison to all the other DMUs, and so there is an optimal set of weights corresponding to each DMU. The present paper, proposes a three stage method to determine one common set of weights for decision making units. Then, we use ...

measuring congestion in data envelopment analysis with common weights

common weights determination in data envelopment analysis

in models of data envelopment analysis (dea), an optimal set of weights is generally assumed to represent the assessed decision making unit (dmu) in the best light in comparison to all the other dmus, and so there is an optimal set of weights corresponding to each dmu. the present paper, proposes a three stage method to determine one common set of weights for decision making units. then, we use...