Title :
Empirical Analysis of Portfolio Optimization Based on DEA Model
Author :
Ke, Jinchuan ; Qiao, Jiao ; Wang, Guan
Author_Institution :
Beijing Jiaotong Univ., Beijing
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.;
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
DOI :
10.1109/FITME.2008.129
