Portfolio selection based on Data Envelopment Analysis

  • Aeknarin Saechin
  • Suda Tragantalerngsak
Keywords: Data Envelopment Analysis, Portfolio selection, Cross-efficiency, Super-efficiency, Markowitz Mean-variance, Mean–Variance Cross-efficiency

Abstract

This article presents methodologies based on Data Envelopment Analysis (DEA) for portfolio selection in two stages. In the first stage, the stock are evaluated using DEA, Super-efficiency and DEA Cross-efficiency. These methods are utilized based on CRS-Output oriented model. Financial ratios are used as the inputs and outputs for evaluating. In the second stage, three portfolio stock–weighting strategies are applied, efficiency score, Markowitz Mean–Variance model and Mean–Variance cross-efficiency. The results show that Mean–Variance cross-efficiency strategy created the superior portfolio in cumulative return than efficiency score and Markowitz Mean–Variance strategy.

Author Biographies

Aeknarin Saechin

Department of Statistics Faculty of Science Silpakorn University

Suda Tragantalerngsak

Department of Statistics Faculty of Science Silpakorn University

References

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Published
2019-03-18
How to Cite
[1]
A. Saechin and S. Tragantalerngsak, “Portfolio selection based on Data Envelopment Analysis”, Thai Journal of Operations Reseach : TJOR, vol. 7, no. 1, pp. 15-24, Mar. 2019.