Naslov
DEA-based Investment Strategy and Its Application in the Croatian Stock Market

Autori
Gardijan, Margareta ; Kojić, Vedran

Izvornik
Croatian operational research review (1848-0225) 3 (2012); 203-212

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Data envelopment analysis ; Investment strategy ; Stock portfolio ; Efficiency

Sažetak
This paper describes the DEA-based investment strategy for constructing of a stock portfolio in the Croatian stock market. The relative efficiency of the DMUs, which are in this case the selected stocks from Zagreb Stock Exchange, is obtained from the output oriented CCR and BCC models. The set of inputs consists of risk measures, namely return variance, Value at Risk (VaR) and beta coefficient (β), while monthly return represents an output. Following the „efficiency scores“, obtained from the models, we construct a portfolio of DEA-efficient stocks (DEA-portfolio). This portfolio can be modified over time according to changes of the DMU's efficiency scores. By comparing the returns of the DEA-portfolio and the market return during the given time period, the applicability of the investment strategy based on a DEA methodology, as a strategy for achieving superior returns, is estimated.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA