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Proceeding of the 24th International Conference on Industrial Engineering and Engineering Management 2018 pp 142–150Cite as

Research on Long-Term Portfolio Selection Model Based on DEA Cross-Efficiency Evaluation

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Abstract

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.

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Author information

Authors and Affiliations

  1. Institute for Interdisciplinary Research, Jianghan University, Wuhan, China

    Chengchao Qiu

Authors
  1. Chengchao Qiu
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Correspondence to Chengchao Qiu .

Editor information

Editors and Affiliations

  1. Department of Industrial and Manufacturing Systems Engineering, The University of Hong Kong, Hong Kong, Hong Kong

    George Q. Huang

  2. Department of Industrial Engineering and Engineering Management, National Tsing Hua University, Hsinchu, Taiwan

    Chen-Fu Chien

  3. Department of Information Management and Management Science, Tianjin University, Tianjin, China

    Runliang Dou

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© 2019 Springer Nature Singapore Pte Ltd.

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Qiu, C. (2019). Research on Long-Term Portfolio Selection Model Based on DEA Cross-Efficiency Evaluation. In: Huang, G., Chien, CF., Dou, R. (eds) Proceeding of the 24th International Conference on Industrial Engineering and Engineering Management 2018. Springer, Singapore. https://doi.org/10.1007/978-981-13-3402-3_16

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