Empirical Analysis of Portfolio Optimization Based on DEA Model

Author

Ke, Jinchuan ; Qiao, Jiao ; Wang, Guan

Author_Institution

Beijing Jiaotong Univ., Beijing

fYear

2008

fDate

20-20 Nov. 2008

Firstpage

490

Lastpage

493

Abstract

The asset evaluation process plays an important role in portfolio optimization because it is the prerequisite for investment decision making and directly influences on the asset allocation. This paper presents an evaluation analysis of stock investment for portfolio optimization based on data envelopment analysis (DEA) model. Considering the relationship between portfolio return and risk, the efficient DEA models and relative evaluation criteria are established. The empirical analysis is conducted on twenty-seven stocks selected from five industrial sectors of China A-share stock market, and a comparative analysis is extended for the fundamental and weight-restricted DEA models.

Keywords

data envelopment analysis; decision making; investment; optimisation; risk analysis; stock markets; China A-share stock market; asset allocation; asset evaluation process; data envelopment analysis model; empirical analysis; evaluation analysis; investment decision making; portfolio optimization; portfolio return; portfolio risk; relative evaluation criteria; stock investment; weight-restricted DEA models; Asset management; Data envelopment analysis; Decision making; Information management; Information technology; Investments; Performance analysis; Portfolios; Security; Seminars; DEA; Evaluation; Optimization; Portfolio; Stock.;

fLanguage

English

Publisher

ieee

Conference_Titel

Future Information Technology and Management Engineering, 2008. FITME '08. International Seminar on

Conference_Location

Leicestershire, United Kingdom

Print_ISBN

978-0-7695-3480-0

Type

conf

DOI

10.1109/FITME.2008.129

Filename

4746540