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Enhancement of equity portfolio performance using data envelopment analysis

  • Pätäri, Eero
  • Leivo, Timo
  • Honkapuro, Samuli

This paper examines the applicability of data envelopment analysis (DEA) as a basis of selection criteria for equity portfolios. It is the first DEA application for constructing a combined equity investment strategy that aims to integrate the benefits of both value investing and momentum investing. The 3-quantile portfolios are composed of a comprehensive sample of Finnish non-financial stocks based on their DEA efficiency scores that are calculated using three variants of DEA models (the constant returns-to-scale, the super-efficiency, and the cross-efficiency models). The performance of portfolios is evaluated on the basis of the average return and several risk-adjusted performance metrics throughout the 1994–2010 sample period.

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File URL: http://www.sciencedirect.com/science/article/pii/S0377221712001233
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 220 (2012)
Issue (Month): 3 ()
Pages: 786-797

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Handle: RePEc:eee:ejores:v:220:y:2012:i:3:p:786-797
DOI: 10.1016/j.ejor.2012.02.006
Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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