A Data Envelopment Analysis Approach to Portfolio Selection: An Application to the Blue Chip Stocks in the Philippine Stock Exchange (2010-2019)

A Data Envelopment Analysis Approach to Portfolio Selection: An Application to the Blue Chip Stocks in the Philippine Stock Exchange (2010-2019)

There has been a growing interest in the application of data envelopment analysis (DEA) as a nonparametric approach in portfolio optimization due to its flexibility in overcoming the limitations of the conventional mean-variance portfolio (MVP) model. Therefore, this study aims to validate the alloc...

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Bibliographic Details
Main Authors: Bhagia, Vishal, Chiu, Colleen Monica K., Castillo, Paulynne J., Raymundo, Roberto B., Tanchuco, Joel Q.
Format: text
Published: Animo Repository 2021
Subjects:
portfolio
stock market
philippine stock exchange
blue chips
mean-variance portfolio
Behavioral Economics
Portfolio and Security Analysis
Online Access:https://animorepository.dlsu.edu.ph/res_aki/15
https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1010&context=res_aki
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Institution: De La Salle University

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https://animorepository.dlsu.edu.ph/res_aki/15
https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1010&context=res_aki

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