Research on Long-Term Portfolio Selection Model Based on DEA Cross-Efficiency Evaluation
This thesis proposes a method to use Data Analysis Envelopment (DEA) for choosing a value stock which has a long-term advantage. This thesis suggests a new assurance region for a DEA model which is will prove that suitable for stock evaluation. The method is to use cross-efficiency DEA with new assurance region and exam its score and variance in several years for selecting stocks. It is a reasonable way to find a good stock for investment and focus to a durable, strong and good performance stock, not diversifying the portfolio. The Author will discuss in which input and output factors need to use in DEA model to have a result that is suitable to the purpose of long-term investment.
KeywordsDEA RAM Cross-efficiency Assurance region constraints Portfolio selection Long-term investment
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