Fatemeh Fattahi; Farhad Hosseinzadeh Lotfi; Andrew C. Worthington
Abstract
Data envelopment analysis (DEA) is a methodology widely used for evaluating the relative performance of portfolios under a mean–variance framework. However, there has been little discussion of whether nonlinear models best suit this purpose. Moreover, when ...
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Data envelopment analysis (DEA) is a methodology widely used for evaluating the relative performance of portfolios under a mean–variance framework. However, there has been little discussion of whether nonlinear models best suit this purpose. Moreover, when using DEA linear models, the portfolio efficiency obtained is not comparable to those on the efficient portfolio frontier. This is because a separable piecewise linear boundary usually below the efficient frontier is considered the efficient frontier, so the model does not fully explore the possibility of portfolio benchmarks. In this paper, and with use of the dual-Lagrangian function, we propose a linear model under a mean–variance framework to evaluate better the performance of portfolios relative to those on the efficient frontier.
Hadi Bagherzadeh Valami
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 ...
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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.
