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

• 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
• Institution: De La Salle University

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...