Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market

摘要: Abstract We propose a way of using DEA cross-efficiency evaluation in portfolio selection. While cross efficiency is an approach developed for peer evaluation, we improve its use In addition to (average) scores, suggest examine the variations cross-efficiencies, and incorporate two statistics cross-efficiencies into mean-variance formulation Two benefits are attained by our proposed approach. One selection portfolios well-diversified terms their performance on multiple criteria, other alleviation so-called “ganging together” phenomenon apply stock Korean market, demonstrate that can be promising tool showing selected yields higher risk-adjusted returns than benchmark 9-year sample period from 2002 2011.