Portfolio Selection using Data Envelopment Analysis with common weights

نویسندگان

  • 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
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 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.

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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...

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عنوان ژورنال:

دوره 04  شماره 1

صفحات  323- 333

تاریخ انتشار 2010-03-01

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