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Bagherzadeh Valami, Hadi. (1400). Portfolio selection by a non-radial DEA model: It’s application in Tehran stock exchange (TSE). سامانه مدیریت نشریات علمی, 1(2), 155-164. doi: 10.22054/jmmf.2021.13848
Hadi Bagherzadeh Valami. "Portfolio selection by a non-radial DEA model: It’s application in Tehran stock exchange (TSE)". سامانه مدیریت نشریات علمی, 1, 2, 1400, 155-164. doi: 10.22054/jmmf.2021.13848
Bagherzadeh Valami, Hadi. (1400). 'Portfolio selection by a non-radial DEA model: It’s application in Tehran stock exchange (TSE)', سامانه مدیریت نشریات علمی, 1(2), pp. 155-164. doi: 10.22054/jmmf.2021.13848
Bagherzadeh Valami, Hadi. Portfolio selection by a non-radial DEA model: It’s application in Tehran stock exchange (TSE). سامانه مدیریت نشریات علمی, 1400; 1(2): 155-164. doi: 10.22054/jmmf.2021.13848

Portfolio selection by a non-radial DEA model: It’s application in Tehran stock exchange (TSE)

Journal of Mathematics and Modeling in Finance
دوره 1، شماره 2، اسفند 2021، صفحه 155-164    اصل مقاله (217.69 K)
نوع مقاله: Research Article
شناسه دیجیتال (DOI): 10.22054/jmmf.2021.13848
نویسنده
Hadi Bagherzadeh Valami*
Department of Applied Mathematics, Yadegar-e-Imam Khomeini (RAH) Shahre Rey Branch, Islamic Azad University, Tehran, Iran
چکیده
In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking of portfolios is provided which is consistent with standard risk-return ratios in finance. We provide illustrations to show the effects of this contribution on the measures of technical efficiency and ranking of portfolios on a sample set of daily prices of banks and credit institutions listed on the first stock market of Tehran Securities Exchange (TSE). The advantage of this paper is to present a model based on stock market returns and risk, which is based on the DEA view of the production possibility set. Of course, in making it, the quadratic property of variance and the origin of coordinates have been used as a moderating point.
کلیدواژه‌ها
Data Envelopment Analysis؛ Portfolio؛ Efficiency؛ Mean-Variance؛ Risk
مراجع
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تعداد مشاهده مقاله: 265
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