This paper describes the DEA-based investment strategy for constructing of a stock portfolio in the Croatian stock market. The relative efficiency of the DMUs, which are in this case the selected stocks from Zagreb Stock Exchange, is obtained from the output oriented CCR and BCC models. The set of inputs consists of risk measures, namely return variance, Value at Risk (VaR) and beta coefficient...

Data envelopment analysis (DEA) is one of the vastly available literature on efficiency analysis. In general, decision making units (DMUs) can be measured from two perspectives, optimistic and pessimistic. Two different perspectives lead to conflicting biased scale measurements. To deal with problem, in this paper, we introduce a double frontier approach integrate both pessimistic efficiencies'...

In this study we use data envelopment analysis (DEA), and an extension of DEA called value efficiency analysis (VEA), to explore the “production” of quality of life within counties in the mid-Atlantic region and the extent to which production frontiers and efficiency differ between rural and urban counties. These methods allow us to identify counties that are inefficient in their quality of lif...

   Evaluate the performance of companies on the Stock Exchange using non-parametric methods is very important. DEA and DEA-R with the strategies for piecewise linear frontier production function and use of available data, assess the stock company. In this study, using a neural network algorithm DEA and DEA-R is suggested to classify the first companies in the stock exchange; Secondly, using the...

Data envelopment analysis (DEA) is a method for measuring the efficiency of peer decision making units (DMUs). Recently network DEA models been developed to examine the efficiency of DMUs with internal structures. The internal network structures range from a simple two-stage process to a complex system where multiple divisions are linked together with intermediate measures. In general, there ar...

data envelopment analysis (dea) is a non-parametric technique for evaluation of relative efficiency of decision making units described by multiple inputs and outputs. it is based on solving linear programming problems. since 1978 when basic dea model was introduced many its modifications were formulated. among them are two or multi-stage models with serial or parallel structure often called net...

Traditional DEA does not take into account the environmental variables when analysis the electrical energy efficiency. In order to weigh the objective and subjective factors’ impact on industrial electrical energy efficiency, this paper attempts to analyze the China's 2011 industrial electrical energy efficiency step by step using DEA optimization model. The results showed that, electrical ener...

Data envelopment analysis (DEA) is an efficient tool for evaluating mutual fund performance. It is important for investors to select the best funds for investment. In evaluation of mutual fund performance, besides quantitative elements, there are many qualitative elements that are of importance to the investors. In this paper, value efficiency analysis (VEA) was used in mutual funds performance...

In this paper we first (trivially) show that data envelopment analysis can be viewed as maximising the sum of the efficiencies of the decision-making units (DMU's) in the organisation. Building upon this we present nonlinear models for: (a) allocating fixed costs to DMU's and (b) allocating resources to DMU's. Simultaneous to allocating resources output targets are also decided for each DMU. Nu...