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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

Puni tekst: engleski, pdf (276 KB) str. 203-212 preuzimanja: 853* citiraj
APA 6th Edition
Gardijan, M. i Kojić, V. (2012). DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET. Croatian Operational Research Review, 3 (1), 203-212. Preuzeto s https://hrcak.srce.hr/96818
MLA 8th Edition
Gardijan, Margareta i Vedran Kojić. "DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET." Croatian Operational Research Review, vol. 3, br. 1, 2012, str. 203-212. https://hrcak.srce.hr/96818. Citirano 19.07.2019.
Chicago 17th Edition
Gardijan, Margareta i Vedran Kojić. "DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET." Croatian Operational Research Review 3, br. 1 (2012): 203-212. https://hrcak.srce.hr/96818
Harvard
Gardijan, M., i Kojić, V. (2012). 'DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET', Croatian Operational Research Review, 3(1), str. 203-212. Preuzeto s: https://hrcak.srce.hr/96818 (Datum pristupa: 19.07.2019.)
Vancouver
Gardijan M, Kojić V. DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET. Croatian Operational Research Review [Internet]. 2012 [pristupljeno 19.07.2019.];3(1):203-212. Dostupno na: https://hrcak.srce.hr/96818
IEEE
M. Gardijan i V. Kojić, "DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET", Croatian Operational Research Review, vol.3, br. 1, str. 203-212, 2012. [Online]. Dostupno na: https://hrcak.srce.hr/96818. [Citirano: 19.07.2019.]

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

Posjeta: 1.071 *