Cross Efficiency Evaluation with Negative Data in Selecting the Best of Portfolio Using OWA Operator Weights

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). Conventional DEA models assume nonnegative values for inputs and outputs. However, we know that unlike return and skewness, variance is the only variable in the model that takes non-negative values. This paper focuses on the evaluation process of the efficiencies in the cross-efficiency matrix with negative data and proposes the use of ordered weighted averaging (OWA) operator weights for cross-efficiency evaluation. 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 Iranian stock companies and extremely weights are obtained via OWA operator in cross efficiency 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.