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Generalized DEA model of fundamental analysis and its application to portfolio optimization

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Cited by:

  1. Jahangoshai Rezaee, Mustafa & Jozmaleki, Mehrdad & Valipour, Mahsa, 2018. "Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 489(C), pages 78-93.
  2. Agnieszka KRAWCZYK-SO£TYS & Agnieszka T£UCZAK, 2017. "The Material Resources Using Efficiency In Polish Public Hospitals," Proceedings of the INTERNATIONAL MANAGEMENT CONFERENCE, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 11(1), pages 493-501, November.
  3. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2010. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1899-1910, August.
  4. Cheng, Gang & Zervopoulos, Panagiotis & Qian, Zhenhua, 2013. "A variant of radial measure capable of dealing with negative inputs and outputs in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 225(1), pages 100-105.
  5. Chun Sun & Sheng Ang & Fangqing Wei & Dawei Wang & Feng Yang, 2024. "Supply–demand effectiveness: capturing the effects of supply and demand mismatches in operational performance measurement," Operational Research, Springer, vol. 24(2), pages 1-22, June.
  6. Héctor Darío Balseiro Barrios & Jorge Armando Luna Amador & Francisco Javier Maza �vila, 2021. "Análisis de eficiencia financiera de las empresas cotizantes en el mercado accionario colombiano para el periodo 2012- 2017," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(1), pages 19-41.
  7. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
  8. Mihaela Nicolau, 2010. "Practitioners' Tools in Analysing Financial Markets Evolution," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 3(3), pages 83-104, August.
  9. Liu, John S. & Lu, Wen-Min, 2010. "DEA and ranking with the network-based approach: a case of R&D performance," Omega, Elsevier, vol. 38(6), pages 453-464, December.
  10. Edirisinghe, N.C.P. & Zhang, X., 2010. "Input/output selection in DEA under expert information, with application to financial markets," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1669-1678, December.
  11. Zeng, Ximei & Zhou, Zhongbao & Gong, Yeming & Liu, Wenbin, 2022. "A data envelopment analysis model integrated with portfolio theory for energy mix adjustment: Evidence in the power industry," Socio-Economic Planning Sciences, Elsevier, vol. 83(C).
  12. Carlos P. Barros & Qi Bin Liang & Nicolas Peypoch, 2014. "Technical Efficiency in the Angolan Banking Sector with the B-convexity Model," South African Journal of Economics, Economic Society of South Africa, vol. 82(3), pages 443-454, September.
  13. Jens J. Krüger, 2021. "Nonparametric portfolio efficiency measurement with higher moments," Empirical Economics, Springer, vol. 61(3), pages 1435-1459, September.
  14. Lim, Sungmook & Oh, Kwang Wuk & Zhu, Joe, 2014. "Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market," European Journal of Operational Research, Elsevier, vol. 236(1), pages 361-368.
  15. Amita Sharma & Aparna Mehra, 2017. "Financial analysis based sectoral portfolio optimization under second order stochastic dominance," Annals of Operations Research, Springer, vol. 256(1), pages 171-197, September.
  16. Yi, Ronghua & Chang, Yu-Wei & Xing, Wen & Chen, Jun, 2019. "Comparing relative valuation efficiency between two stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 159-167.
  17. Zhou, Zhongbao & Gao, Meng & Xiao, Helu & Wang, Rui & Liu, Wenbin, 2021. "Big data and portfolio optimization: A novel approach integrating DEA with multiple data sources," Omega, Elsevier, vol. 104(C).
  18. Kashif Rashid & Adeela Rustam, 2014. "Comparative Analysis of Local and Foreign Banks Efficiency: A Case Study of Pakistan," Oeconomics of Knowledge, Saphira Publishing House, vol. 6(3), pages 7-52, August.
  19. Naeem Mohseny-Tonekabony & Seyed Jafar Sadjadi & Emran Mohammadi & Mehrdad Tamiz & Dylan F. Jones, 2025. "Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA," Annals of Operations Research, Springer, vol. 346(2), pages 1497-1552, March.
  20. Vrinda Dhingra & Amita Sharma & Shiv K. Gupta, 2021. "Sectoral portfolio optimization by judicious selection of financial ratios via PCA," Papers 2106.11484, arXiv.org, revised Jan 2023.
  21. Wei Chen & Yuxi Gai & Pankaj Gupta, 2018. "Efficiency evaluation of fuzzy portfolio in different risk measures via DEA," Annals of Operations Research, Springer, vol. 269(1), pages 103-127, October.
  22. Maysam Eftekhary & Peyman Gholami & Saeed Safari & Mohammad Shojaee, 2012. "Ranking Normalization Methods for Improving the Accuracy of SVM Algorithm by DEA Method," Modern Applied Science, Canadian Center of Science and Education, vol. 6(10), pages 1-26, October.
  23. Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo, 2016. "Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 27-42, February.
  24. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
  25. Avkiran, Necmi K. & Morita, Hiroshi, 2010. "Predicting Japanese bank stock performance with a composite relative efficiency metric: A new investment tool," Pacific-Basin Finance Journal, Elsevier, vol. 18(3), pages 254-271, June.
  26. Mehdi Toloo & Soroosh Nalchigar & Babak Sohrabi, 2018. "Selecting most efficient information system projects in presence of user subjective opinions: a DEA approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(4), pages 1027-1051, December.
  27. Tihana Škrinjarić & Boško Šego, 2018. "Using Grey Incidence Analysis Approach in Portfolio Selection," IJFS, MDPI, vol. 7(1), pages 1-16, December.
  28. Youchao Tan & Yang Zhang & Roohollah Khodaverdi, 2017. "Service performance evaluation using data envelopment analysis and balance scorecard approach: an application to automotive industry," Annals of Operations Research, Springer, vol. 248(1), pages 449-470, January.
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