Equity portfolio optimization: a DEA based methodology applied to the Zagreb stock exchange
DOI10.17535/CRORR.2015.0031zbMATH Open1357.91039OpenAlexW1880224710MaRDI QIDQ2966460FDOQ2966460
Authors: Margareta Gardijan, Tihana Škrinjarić 
Publication date: 7 March 2017
Published in: Croatian operational research review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.17535/crorr.2015.0031
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Portfolio theory (91G10) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Financial applications of other theories (91G80)
Cited In (13)
- Stochastic programming DEA model of fundamental analysis of public firms for portfolio selection
- Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market
- Improving portfolio liquidity
- Portfolio selection under DEA-based relative financial strength indicators: case of US industries
- Enhancement of equity portfolio performance using data envelopment analysis
- Formulating a novel stock selection model using DEA and grey situation decision model
- A Portfolio Selection Methodology Based on Data Envelopment Analysis
- Model to estimate monthly time horizons for application of DEA in selection of stock portfolio and for maintenance of the selected portfolio
- Utilising data envelopment analysis for selecting stock and benchmark firms in Tehran stock exchange
- Application of Luenberger shortage function on the Zagreb stock exchange: analysis of efficient market portfolio
- Contrarian investment strategy with data envelopment analysis concept
- Optimization of short-term stock selection based on volume and price using a non-cooperative parallel DEA model
- An integrated portfolio optimisation procedure based on data envelopment analysis, artificial bee colony algorithm and genetic programming
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