Enhancement of equity portfolio performance using data envelopment analysis

DOI10.1016/j.ejor.2012.02.006zbMath1253.91137OpenAlexW2073489444MaRDI QIDQ1926803

Timo Leivo, Samuli Honkapuro, Eero Pätäri

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.02.006

zbMATH Keywords

investment analysisperformance measurementdata envelopment analysis (DEA)value investingportfolio performancemomentum investing

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

Related Items (5)

Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market ⋮ Model to estimate monthly time horizons for application of DEA in selection of stock portfolio and for maintenance of the selected portfolio ⋮ Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence ⋮ Index tracking with utility enhanced weighting ⋮ Pricing and risk management of interest rate swaps

Cites Work

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• Portfolio selection under DEA-based relative financial strength indicators: case of US industries
• Common risk factors in the returns on stocks and bonds
• A Portfolio Selection Methodology Based on Data Envelopment Analysis

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