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Croatian Operational Research Review, Vol.3 No.1 December 2012. -

This paper describes the DEA-based investment strategy for constructing of a stock portfolio in the Croatian stock market. The relative efficiency of the DMUs, which are in this case the selected stocks from Zagreb Stock Exchange, is obtained from the output oriented CCR and BCC models. The set of inputs consists of risk measures, namely return variance, Value at Risk VaR and beta coefficient $\beta$, while monthly return represents an output. Following the „efficiency scores-, obtained from the models, we construct a portfolio of DEA-efficient stocks DEA-portfolio. This portfolio can be modified over time according to changes of the DMU-s efficiency scores. By comparing the returns of the EA-portfolio and the market return during the given time period, the applicability of the investment strategy based on a DEA methodology, as a strategy for achieving superior returns, is estimated.

data envelopment analysis; investment strategy; stock portfolio; efficiency



Autor: Margareta Gardijan - orcid.org-0000-0001-5390-057X ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia Ved

Fuente: http://hrcak.srce.hr/



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