Equity portfolio optimization: a DEA based methodology applied to the Zagreb stock exchange

DOI10.17535/CRORR.2015.0031MaRDI QIDQ2966460zbMATHOpenAlexFDO

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

zbMATH Keywords

optimizationportfolio selectionDEAwindow analysisfinancial ratios

Mathematics Subject Classification ID

Portfolio theory (91G10) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Financial applications of other theories (91G80)

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Cited in

(13)

• Utilising data envelopment analysis for selecting stock and benchmark firms in Tehran stock exchange
• Contrarian investment strategy with data envelopment analysis concept
• An integrated portfolio optimisation procedure based on data envelopment analysis, artificial bee colony algorithm and genetic programming
• Optimization of short-term stock selection based on volume and price using a non-cooperative parallel DEA model
• Stochastic programming DEA model of fundamental analysis of public firms for portfolio selection
• A Portfolio Selection Methodology Based on Data Envelopment Analysis
• Formulating a novel stock selection model using DEA and grey situation decision model
• Enhancement of equity portfolio performance using data envelopment analysis
• Portfolio selection under DEA-based relative financial strength indicators: case of US industries
• Model to estimate monthly time horizons for application of DEA in selection of stock portfolio and for maintenance of the selected portfolio
• Application of Luenberger shortage function on the Zagreb stock exchange: analysis of efficient market portfolio
• Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market
• Improving portfolio liquidity

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