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Original scientific paper

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

Margareta Gardijan   ORCID icon orcid.org/0000-0001-5390-057X ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia
Vedran Kojić   ORCID icon 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: 860* cite
APA 6th Edition
Gardijan, 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 Edition
Gardijan, 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 17 Oct. 2019.
Chicago 17th Edition
Gardijan, 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
Harvard
Gardijan, 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 17 October 2019)
Vancouver
Gardijan M, Kojić V. DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET. Croatian Operational Research Review [Internet]. 2012 [cited 2019 October 17];3(1):203-212. Available from: https://hrcak.srce.hr/96818
IEEE
M. 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: 17 October 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.

Keywords
data envelopment analysis; investment strategy; stock portfolio; efficiency

Hrčak ID: 96818

URI
https://hrcak.srce.hr/96818

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