Estimating the Efficient Portfolio in Non-Radial DEA and DEA-R Models
الموضوعات : International Journal of Data Envelopment Analysis
Forod Najafi
1
(Department of Mathematics, Payame Noor University, Shiraz, Iran)
Mohammad Reza Mozaffari
2
(Department of Mathematics, Shiraz Branch, Islamic Azad University, Shiraz, Iran)
الکلمات المفتاحية: DEA, DEA-R, Efficient Portfolio,
ملخص المقالة :
The portfolio is a perfect combination of stock or assets, which an investor buys them. The objective of the portfolio is to divide the investment risk among several shares. Using non-parametric DEA and DEA-R methods can be of great significance in estimating portfolio. In the present paper, the efficient portfolio is estimated by using non-radial DEA and DEA-R models. By proposing non-radial models in DEA-R when there is ratio data the efficient portfolio is determined. At the end of the study, an applicatory example based on article [2] with non-radial DEA and DEA-R models has been conducted and results are presented.
[1] Farrel M.J. The Measurement of Productive Efficiency, Journal of Royal Statistical Society, (1957), A, 120, pp. 253-281.
[2] Charnes A., w.w. Cooper and E. Rhodes, Measuring the Efficiency of decision Making Units , European Journal of Operational Research, (2006), 2,429-444.
[3] Banker R., A. Charnes and W.W. Cooper. Some Models for Estimating Technical and Scale Inefficiecies in Data Envelopment Analysis, Management Science, (1984), 30:1078-1092.
