Improving DEA cross-efficiency optimization in portfolio selection
作者： Gholam R. Amin , Mohaddeseh Hajjami
DOI: 10.1016/J.ESWA.2020.114280
关键词:
摘要: Abstract This paper deals with the role of alternative optimal solutions existing in data envelopment analysis (DEA) models for cross-efficiency evaluation portfolio selection. The shows that incorporating constructing matrix improves result mean-variance selection method. improvement means building portfolios lower risk and higher expected return is possible when are considered. proposed method this applied to stock Tehran market.
sci-hub.st 参考文章(31)
Serafim Opricovic, Gwo-Hshiung Tzeng, Comparing DEA and MCDM Method Multi-Objective Programming and Goal Programming. pp. 227- 232 ,(2003) , 10.1007/978-3-540-36510-5_32
William W Cooper, Lawrence M Seiford, Kaoru Tone, None, Introduction to Data Envelopment Analysis and Its Uses: With DEA-Solver Software and References ,(2005)
Kao-Yi Shen, Gwo-Hshiung Tzeng, Combined soft computing model for value stock selection based on fundamental analysis soft computing. ,vol. 37, pp. 142- 155 ,(2015) , 10.1016/J.ASOC.2015.07.030
N C P Edirisinghe, X Zhang, Portfolio selection under DEA-based relative financial strength indicators: case of US industries Journal of the Operational Research Society. ,vol. 59, pp. 842- 856 ,(2008) , 10.1057/PALGRAVE.JORS.2602442
Sungmook Lim, Kwang Wuk Oh, Joe Zhu, Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market European Journal of Operational Research. ,vol. 236, pp. 361- 368 ,(2014) , 10.1016/J.EJOR.2013.12.002
John S. Liu, Louis Y.Y. Lu, Wen-Min Lu, Research fronts in data envelopment analysis Omega-international Journal of Management Science. ,vol. 58, pp. 33- 45 ,(2016) , 10.1016/J.OMEGA.2015.04.004
Muhittin Oral, Gholam R. Amin, Amar Oukil, Cross-efficiency in DEA: A maximum resonated appreciative model Measurement. ,vol. 63, pp. 159- 167 ,(2015) , 10.1016/J.MEASUREMENT.2014.12.006
Wade D. Cook, Larry M. Seiford, Data envelopment analysis (DEA) - Thirty years on European Journal of Operational Research. ,vol. 192, pp. 1- 17 ,(2009) , 10.1016/J.EJOR.2008.01.032
Theodor J. Stewart, Relationships between Data Envelopment Analysis and Multicriteria Decision Analysis Journal of the Operational Research Society. ,vol. 47, pp. 654- 665 ,(1996) , 10.1057/JORS.1996.77
Petter N Kolm, Reha Tütüncü, Frank J Fabozzi, None, 60 Years of portfolio optimization: Practical challenges and current trends European Journal of Operational Research. ,vol. 234, pp. 356- 371 ,(2014) , 10.1016/J.EJOR.2013.10.060