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DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET

Margareta Gardijan orcid.org/0000-0001-5390-057X ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia
Vedran Kojić orcid.org/0000-0002-6802-1719 ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia

Sažetak

This paper describes the DEA-based investment strategy for constructing of a stock portfolio in the Croatian stock market. The relative efficiency of the DMUs, which are in this case the selected stocks from Zagreb Stock Exchange, is obtained from the output oriented CCR and BCC models. The set of inputs consists of risk measures, namely return variance, Value at Risk (VaR) and beta coefficient $(\beta )$, while monthly return represents an output. Following the „efficiency scores“, obtained from the models, we construct a portfolio of DEA-efficient stocks (DEA-portfolio). This portfolio can be modified over time according to changes of the DMU's efficiency scores. By comparing the returns of the EA-portfolio and the market return during the given time period, the applicability of the investment strategy based on a DEA methodology, as a strategy for achieving superior returns, is estimated.

Ključne riječi

data envelopment analysis; investment strategy; stock portfolio; efficiency

Hrčak ID:

96818

URI

https://hrcak.srce.hr/96818

Datum izdavanja:

30.12.2012.

Posjeta: 2.786 *