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Title

Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE)

Year: 1400
COI: JR_JMMF-1-2_011
Language: EnglishView: 45
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Authors

Hadi Bagherzadeh Valami - Department of Applied Mathematics, Yadegar-e-Imam Khomeini (RAH) Shahre Rey Branch, Islamic Azad University, Tehran, Iran

Abstract:

In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking of portfolios is provided which is consistent with standard risk-return ratios in finance. We provide illustrations to show the effects of this contribution on the measures of technical efficiency and ranking of portfolios on a sample set of daily prices of banks and credit institutions listed on the first stock market of Tehran Securities Exchange (TSE). The advantage of this paper is to present a model based on stock market returns and risk, which is based on the DEA view of the production possibility set. Of course, in making it, the quadratic property of variance and the origin of coordinates have been used as a moderating point.

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Paper COI Code

This Paper COI Code is JR_JMMF-1-2_011. Also You can use the following address to link to this article. This link is permanent and is used as an article registration confirmation in the Civilica reference:

https://civilica.com/doc/1392873/

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Bagherzadeh Valami, Hadi,1400,Portfolio Selection by a Non-Radial DEA Model; Its application in Tehran Stock Exchange (TSE),https://civilica.com/doc/1392873

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Scientometrics

The specifications of the publisher center of this Paper are as follows:
Type of center: Azad University
Paper count: 4,710
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