Portfolio selection based on Data Envelopment Analysis
This article presents methodologies based on Data Envelopment Analysis (DEA) for portfolio selection in two stages. In the first stage, the stock are evaluated using DEA, Super-efficiency and DEA Cross-efficiency. These methods are utilized based on CRS-Output oriented model. Financial ratios are used as the inputs and outputs for evaluating. In the second stage, three portfolio stock–weighting strategies are applied, efficiency score, Markowitz Mean–Variance model and Mean–Variance cross-efficiency. The results show that Mean–Variance cross-efficiency strategy created the superior portfolio in cumulative return than efficiency score and Markowitz Mean–Variance strategy.
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