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Croatian Operational Research Review, Vol. 6 No. 2, 2015.

Izvorni znanstveni članak
https://doi.org/10.17535/crorr.2015.0031

Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange

Margareta Gardijan   ORCID icon orcid.org/0000-0001-5390-057X ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia
Tihana Škrinjarić ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia

Puni tekst: engleski, pdf (337 KB) str. 405-417 preuzimanja: 767* citiraj
APA 6th Edition
Gardijan, M. i Škrinjarić, T. (2015). Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange. Croatian Operational Research Review, 6 (2), 405-417. https://doi.org/10.17535/crorr.2015.0031
MLA 8th Edition
Gardijan, Margareta i Tihana Škrinjarić. "Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange." Croatian Operational Research Review, vol. 6, br. 2, 2015, str. 405-417. https://doi.org/10.17535/crorr.2015.0031. Citirano 20.02.2019.
Chicago 17th Edition
Gardijan, Margareta i Tihana Škrinjarić. "Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange." Croatian Operational Research Review 6, br. 2 (2015): 405-417. https://doi.org/10.17535/crorr.2015.0031
Harvard
Gardijan, M., i Škrinjarić, T. (2015). 'Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange', Croatian Operational Research Review, 6(2), str. 405-417. doi: https://doi.org/10.17535/crorr.2015.0031
Vancouver
Gardijan M, Škrinjarić T. Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange. Croatian Operational Research Review [Internet]. 2015 [pristupljeno 20.02.2019.];6(2):405-417. doi: https://doi.org/10.17535/crorr.2015.0031
IEEE
M. Gardijan i T. Škrinjarić, "Equity portfolio optimization: A DEA based methodology applied to the Zagreb Stock Exchange", Croatian Operational Research Review, vol.6, br. 2, str. 405-417, 2015. [Online]. doi: https://doi.org/10.17535/crorr.2015.0031

Sažetak
Most strategies for selection portfolios focus on utilizing solely market data and implicitly assume that stock markets communicate all relevant information to all market stakeholders, and that these markets cannot be influenced by investor activities. However convenient, this is a limited approach, especially when applied to small and illiquid markets such as the Croatian market, where such assumptions are hardly realistic. Thus, there is a demand for including other sources of data, such as financial reports. Research poses the question of whether financial ratios as criteria for stock selection are of any use to Croatian investors. Financial and market data from selected publicly companies listed on the Croatian capital market are used. A two-stage portfolio selection strategy is applied, where the first stage involves selecting stocks based on the respective Data Envelopment Analysis (DEA) efficiency scores. DEA models are becoming popular in stock portfolio selection given that the methodology includes numerous models that provide a great flexibility in selecting inputs and outputs, which in turn are considered as criteria for portfolio selection. Accordingly, there is much room for improvement of the current proposed strategies for selecting portfolios. In the second stage, two portfolio-weighting strategies are applied using equal proportions and score-weighting. To show whether these strategies create outstanding out–of–sample portfolios in time, time-dependent DEA Window Analysis is applied using a reference time of one year, and portfolio returns are compared with the market portfolio for each period. It is found that the financial data are a significant indicator of the future performance of a stock and a DEA-based portfolio strategy outperforms market return.

Ključne riječi
portfolio selection, optimization; DEA; financial ratios; window analysis; stock market dynamics

Hrčak ID: 148270

URI
https://hrcak.srce.hr/148270

Posjeta: 1.052 *