Croatian Operational Research Review,Vol. 3 No. 1, 2012

Original scientific paper

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

 Fulltext: english, pdf (276 KB) pages 203-212 downloads: 853* cite APA 6th EditionGardijan, M. & Kojić, V. (2012). DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET. Croatian Operational Research Review, 3 (1), 203-212. Retrieved from https://hrcak.srce.hr/96818 MLA 8th EditionGardijan, Margareta and Vedran Kojić. "DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET." Croatian Operational Research Review, vol. 3, no. 1, 2012, pp. 203-212. https://hrcak.srce.hr/96818. Accessed 20 Jul. 2019. Chicago 17th EditionGardijan, Margareta and Vedran Kojić. "DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET." Croatian Operational Research Review 3, no. 1 (2012): 203-212. https://hrcak.srce.hr/96818 HarvardGardijan, M., and Kojić, V. (2012). 'DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET', Croatian Operational Research Review, 3(1), pp. 203-212. Available at: https://hrcak.srce.hr/96818 (Accessed 20 July 2019) VancouverGardijan M, Kojić V. DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET. Croatian Operational Research Review [Internet]. 2012 [cited 2019 July 20];3(1):203-212. Available from: https://hrcak.srce.hr/96818 IEEEM. Gardijan and V. Kojić, "DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET", Croatian Operational Research Review, vol.3, no. 1, pp. 203-212, 2012. [Online]. Available: https://hrcak.srce.hr/96818. [Accessed: 20 July 2019]

Abstracts
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.

Hrčak ID: 96818

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