A Comparison of the Linear Model and the Efficient Frontier for the Evaluation of Portfolio Performance

Fatemeh Fattahi; Farhad Hosseinzadeh Lotfi; Andrew C. Worthington

Volume 4, Issue 1 , July 2024, , Pages 83-96

https://doi.org/10.22054/jmmf.2024.76182.1115

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 ...  Read More

Introduction a method of determining returns to scale in network data envelopment analysis

Hadi Bagherzadeh Valami; Zeinab Sinaei nasab

Volume 2, Issue 2 , December 2022, , Pages 15-36

https://doi.org/10.22054/jmmf.2023.15184

Abstract
  In the process of evaluating the Decision Making Units, two factors of efficiency and production size can be used. When the production size of a unit is not optimal, its Returns To Scale (RTS) determines that changing the resources in anotherdirection would enhance its productivity. In most previous ...  Read More

Presenting a comparative model of stock investment portfolio optimization based on Markowitz model

Samaneh Mohammadi Jarchelou; Kianoush Fathi Vajargah; Parvin Azhdari

Volume 2, Issue 2 , December 2022, , Pages 129-150

https://doi.org/10.22054/jmmf.2023.15189

Abstract
  Investment is the selection of assets to hold and earn more pro t for greater prosperity in the future. The selection of a portfolio based on the theory of constraint is classical data covering analysis evaluation and ranking Sample function. The in vestment process is related to how investors act in ...  Read More

Portfolio selection by a non-radial DEA model: It’s application in Tehran stock exchange (TSE)

Hadi Bagherzadeh Valami

Volume 1, Issue 2 , December 2021, , Pages 155-164

https://doi.org/10.22054/jmmf.2021.13848

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 ...  Read More