Portfolio Selection using Data Envelopment Analysis with common weights

Iranian Journal of Optimization

مقاله 2، دوره 4، شماره 1، فروردین 2012، صفحه 282-291   

نوع مقاله: Research Paper

نویسندگان

A. Alinezhad^{* 1}؛ M. Zohrebandian²؛ F. Dehdar³

¹Islamic Azad University, Qazvin Branch, Department of Industrial Engineering

²Islamic Azad University Karaj Branch, Department of Mathematics

³Islamic Azad University Qazvin Branch, Department of Industrial Engineering

چکیده

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output common weights, and then the generation of a portfolio is carried out by a mathematical model. Finally the methodology is illustrated numerically on the market of Iran stock exchange.

کلیدواژه‌ها

DEA؛ Portfolio Selection؛ MOLP؛ Common weights؛ Efficiency

مراجع

[1] Amiri M., Zandieh M., Vahdani B., Soltani R., & Roshanaei V., An integrated eigenvector-DEA-TOPSIS methodology for portfolio risk evaluation in the FOREX spot market. Expert Systems with Applications , 37, 509-516, 2010.

[2] Aouni B., Ben Abdelaziz  F., & Martel J. M., Decision-maker's preferences modeling in the stochastic goal programming. European Journal of Operational Research , 162, 610-618, 2005.

[3] Ballestero E., Stochastic goal programming:A mean-variance approach. European Journal of Operational Research , 131, 476-581, 2001.

[4] Basso A., & Funari S., A data envelopment analysis approach to measure the mutual fund performance. European Journal of Operational Research , 135, 477-492, 2001.

[5] Ben Abdelaziz  F., Aouni B., & Fayedh  R. E., Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research , 177, 1811-1823, 2007.

[6] Cai  X., Teo  K. L., Yang  X., & Zhou  X. Y., Portfolio optimization under a minimax rule. Management Science , 46, 957-972, 2000.

[7] Charnes A., Cooper  W. W., & Rhodes  E., Measuring the efficiency of decision-making units. European Journal of Operational Research , 3, 429-444, 1978.

[8] Chen  H. H., Stock selection using data envelopment analysis. Industerial Management and Data Systems , 108, 1255-1268, 2008.

[9] Deng  X. T., Li  Z. F., & Wong S. Y., A minimax portfolio selection sterategy with equilibrium. European Jounal of Operational Research , 166, 278-292, 2005.

[10] Dia M., A Portfolio Selection Methodology Based on Data Envelopment Analysis. INFOR:Information Systems and Operational Research , 47, 71-79, 2009.

[11] Edirisinghe N. P., & Zhang X., Generalized DEA model of fundamental analysis and application to portfolio optimization. Journal of Banking and Finance , 31, 3311-3335, 2007.

[12] Edirisinghe N. P., & Zhang X., Portfolio selection under DEA-based relative financial strength indicators:case of US industries. Journal of the Research Society , 59, 842-856, 2008.

[13] Eilat H., Golany B., & Shtub A., Constructing and evaluating balanced portfolios of R&D with interactions:A DEA based methodology. European Journal of Operational Research , 172, 1018-1039, 2006.

[14] Emel A. B., Oral M., Reisman A., & Yolalan R., A credit scoring approach for the commerical banking sector. Socio-Economic Planning Sciences , 37, 103-123, 2003.

[15] Farrell M., The measurement of productive efficiency. Journal of Royal Statistical Society , 120, 253-281, 1957.

[16] Huang X., portfolio selection with a new definition of risk. Europian Journal of Operational Research , 351-357, 2008.

[17] Jahanshahloo G. R., Memariani A., & Hosseinzadeh Lotfi  F., A note on some of DEA models and finding efficiency and complete ranking using common set of weights. Applied Mathematics and Computation , 166, 265-281, 2005.

[18] Kao C., & Hung H. T., Data Envelopment Analysis with common weights:the compromise solution approach. Journal of Operational Research , 56, 1196-1203, 2005.

[19] Karsak E. E., & Ahiska S. S., Partical common weight multi-criteria decision-making approach with an improved discriminating power for technology selection. International Journal of production Research , 43, 1537-1554, 2005.

[20] Ke  J., Qiao J., & Wang G., Emperical Analysis of Portfolio Optimization Based on DEA model. International Seminar on Future Information Technology and Management Engineering, pp. 490-493, 2008.

[21] Konno H., Shirakawa H., & Yamazaki H., A mean-absolute deviation-skewness portfolio optimization model. Annals of Operations Research , 45, 205-220, 1993.

[22] Lozano S., & Gutierrez E., Data envelopment analysis of mutual funds based on second-order stochastic dominanace. European Journal of Operational Research , 189, 230-244, 2008.

[23] Markowitz H., Portfolio selection. Journal of Finance , 7, 77-91, 1952.

[24] Murthi B. S., Choi Y. K., & Desai P., Efficiency of mutual funds and portfolio performance measurement:Anon-parametric approach. European Journal of Operational Research , 98, 408-418, 1997.

[25] Ogryczak W., Multiple criteria linear programming model for portfolio selection. Annals of Operations Research , 97, 143-162, 2000.

[26] Parra M. A., Terol A. B., & Uria M., A fuzzy goal programming approach to portfolio selection. European Journal of Oprational Research , 133, 286-297, 2001.

[27] Roll Y., & Galony B., Alternate methods of treating factor weights in DEA. Omega , 21, 99-109, 1993.

[28] Saaty T. L., Rogers P. C., & Pell R., Portfolio selection through hierarchies. The journal of portfolio management , 6, 16-21, 1980.

[29] Tanaka H., Guo P., & Turksen I. B., Portfolio selection based on fuzzy probabilities and possibility distributions. Fuzzy sets and Systems , 111, 387-397, 2000.

[30] Tiryaki F., & Ahlatcioglu M., Fuzzy stock selection using a new fuzzy ranking and weighting algorithm. Applied Mathematics and Computation , 170, 144-157, 2005.

[31] Williams J. O., Maximizing th probability of achieving invesment goals. Journal of Portfolio Management , 24, 77-81, 1997.

[32] Zhang W. G., & Nie Z. K., On admissible efficient portfolio selection problem. Applied Mathematics and Computation , 159, 357-371, 2004.

[33] Zohrebandian M., Makui A., & Alinezhad A., A compamise solution approach for finding common weigts in DEA:an improvement to Kao and Hung's approach. Journal of Operational Research Society , 61, 604-610, 2010.