Stock assessment using cumulative prospect theory in DEA cross-efficiency model: a case study of the Indian stock market

DOI10.17535/CRORR.2024.0001MaRDI QIDQ6546101zbMATH OpenFDO

Authors Reenu Kumari, Anjana Gupta, Abha Aggarwal

Publication date 29 May 2024

Published in Croatian Operational Research Review (CRORR) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17535/CRORR.2024.0001

zbMATH Keywords

cross-efficiencycumulative prospect theorydata envelopment analysisdiversificationstock selection

Mathematics Subject Classification ID

Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Utility theory (91B16) Financial markets (91G15)

Cites work

• A modified DEA cross efficiency method with negative data and its application in supplier selection
• DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
• Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
• Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach
• Gangless cross-evaluation in DEA: an application to stock selection
• Improving portfolio liquidity
• Measuring the efficiency of decision making units
• Negative data in DEA: a directional distance approach applied to bank branches
• Selecting the best of portfolio using OWA operator weights in cross efficiency-evaluation
• Stock selection using a hybrid MCDM approach
• Use of DEA cross-efficiency evaluation in portfolio selection: an application to Korean stock market

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