Stochastic programming DEA model of fundamental analysis of public firms for portfolio selection

DOI10.1007/978-3-642-29210-1_86MaRDI QIDQ5176367zbMATH OpenOpenAlexFDO

Authors N. Chanaka P. Edirisinghe

Publication date 3 March 2015

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-29210-1_86

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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(4)

• Model to estimate monthly time horizons for application of DEA in selection of stock portfolio and for maintenance of the selected portfolio
• Gangless cross-evaluation in DEA: an application to stock selection
• Portfolio selection under DEA-based relative financial strength indicators: case of US industries
• Centroid cross-efficiency approach for clustering

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