DEA investment strategy in the Brazilian stock market
This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.
Volume (Year): 13 (2008)
Issue (Month): 2 ()
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World Scientific Publishing Co. Pte. Ltd..
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