Portfolio Selection using Data Envelopment Analysis (DEA): A Case of Select Indian Investment Companies
نویسندگان
چکیده
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, and then the generation of a portfolio is carried out by a mathematical model. Then the methodology is illustrated numerically on the market of Mumbai stock exchange. Finally, by using AP Model, we determined optimal portfolio stocks for investors in the Mumbai stock
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