Selecting the best of portfolio using OWA operator weights in cross efficiency-evaluation

DOI10.1155/2014/978314MaRDI QIDQ469994zbMATH OpenOpenAlexWikidataFDO

Authors Masoud Sanei, Shokoofeh Banihashemi

Publication date 11 November 2014

Published in ISRN Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/978314

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)

Review text

Summary: The present study is an attempt toward evaluating the performance of portfolios and asset selection using cross-efficiency evaluation. Cross-efficiency evaluation is an effective way of ranking decision making units (DMUs) in data envelopment analysis (DEA). The most widely used approach is to evaluate the efficiencies in each row or column in the cross-efficiency matrix with equal weights into an average cross-efficiency score for each DMU and consider it as the overall performance measurement of the DMU. This paper focuses on the evaluation process of the efficiencies in the cross-efficiency matrix and proposes the use of ordered weighted averaging (OWA) operator weights for cross-efficiency evaluation. The OWA operator weights are generated by the minimax disparity approach and allow the decision maker (DM) or investor to select the best assets that are characterized by an orness degree. The problem consists of choosing an optimal set of assets in order to minimize the risk and maximize return. This method is illustrated by application in mutual funds and weights are obtained via OWA operator for making the best portfolio. The finding could be used for constructing the best portfolio in stock companies, in various finance organization, and public and private sector companies.

Recommendations

• Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market
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Cited in

(2)

• Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market
• Stock assessment using cumulative prospect theory in DEA cross-efficiency model: a case study of the Indian stock market

Describes a project that uses

Uses Software

• DEA

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