Portfolio Selection using Data Envelopment Analysis with common weights

Authors

  • A. Alinezhad Islamic Azad University, Qazvin Branch, Department of Industrial Engineering
  • F. Dehdar Islamic Azad University Qazvin Branch, Department of Industrial Engineering
  • M. Zohrebandian Islamic Azad University Karaj Branch, Department of Mathematics
Abstract:

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 common weights, and then the generation of a portfolio is carried out by a mathematical model. Finally the methodology is illustrated numerically on the market of Iran stock exchange.

Upgrade to premium to download articles

Sign up to access the full text

Already have an account?login

similar resources

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...

full text

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...

full text

Measuring congestion in data envelopment analysis with common weights

full text

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 ...

full text

measuring congestion in data envelopment analysis with common weights

full text

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...

full text

My Resources

Save resource for easier access later

Save to my library Already added to my library

{@ msg_add @}


Journal title

volume 04  issue 1

pages  323- 333

publication date 2010-03-01

{@ msg @}

By following a journal you will be notified via email when a new issue of this journal is published.

Keywords

Hosted on Doprax cloud platform doprax.com

copyright © 2015-2023