Portfolio Selection Using Data Envelopment Analysis

• Main Authors: Bhagia, Vishal, Chiu, Colleen Monica K., Castillo, Paulynne, Raymundo, Roberto, Tanchuco, Joel Q.
• 格式: text
• 出版: Animo Repository 2021
• 主題: Data Envelopment Analysis; Portfolio Optimization; DEA; Mean-Variance Portfolio; mean variance portfolio; MVP; Cross-Efficiency; Work, Economy and Organizations
• 在線閱讀: https://animorepository.dlsu.edu.ph/res_aki/97; https://animorepository.dlsu.edu.ph/context/res_aki/article/1098/viewcontent/Portfolio_Selection_Using_Data_Envelopment_Analysis.pdf

There has been a growing interest in applying data envelopment analysis (DEA) as a non-parametric approach in portfolio optimization due to its flexibility in overcoming the limitations of the conventional mean-variance portfolio (MVP) model. Therefore, this study highlights the use of DEA as a port...