Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lim, Sungmook | - |
dc.contributor.author | Oh, Kwang Wuk | - |
dc.contributor.author | Zhu, Joe | - |
dc.date.accessioned | 2021-09-05T07:07:26Z | - |
dc.date.available | 2021-09-05T07:07:26Z | - |
dc.date.created | 2021-06-15 | - |
dc.date.issued | 2014-07-01 | - |
dc.identifier.issn | 0377-2217 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/97985 | - |
dc.description.abstract | We propose a way of using DEA cross-efficiency evaluation in portfolio selection. While cross efficiency is an approach developed for peer evaluation, we improve its use in portfolio selection. In addition to (average) cross-efficiency scores, we suggest to examine the variations of cross-efficiencies, and to incorporate two statistics of cross-efficiencies into the mean-variance formulation of portfolio selection. Two benefits are attained by our proposed approach. One is selection of portfolios well-diversified in terms of their performance on multiple evaluation criteria, and the other is alleviation of the so-called "ganging together" phenomenon of DEA cross-efficiency evaluation in portfolio selection. We apply the proposed approach to stock portfolio selection in the Korean stock market, and demonstrate that the proposed approach can be a promising tool for stock portfolio selection by showing that the selected portfolio yields higher risk-adjusted returns than other benchmark portfolios for a 9-year sample period from 2002 to 2011. (C) 2013 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | DATA ENVELOPMENT ANALYSIS | - |
dc.subject | RATIO | - |
dc.subject | MODELS | - |
dc.subject | UNITS | - |
dc.title | Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Oh, Kwang Wuk | - |
dc.identifier.doi | 10.1016/j.ejor.2013.12.002 | - |
dc.identifier.scopusid | 2-s2.0-84900629381 | - |
dc.identifier.wosid | 000333783000033 | - |
dc.identifier.bibliographicCitation | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.236, no.1, pp.361 - 368 | - |
dc.relation.isPartOf | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | - |
dc.citation.title | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | - |
dc.citation.volume | 236 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 361 | - |
dc.citation.endPage | 368 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Operations Research & Management Science | - |
dc.relation.journalWebOfScienceCategory | Management | - |
dc.relation.journalWebOfScienceCategory | Operations Research & Management Science | - |
dc.subject.keywordPlus | DATA ENVELOPMENT ANALYSIS | - |
dc.subject.keywordPlus | RATIO | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordPlus | UNITS | - |
dc.subject.keywordAuthor | Data envelopment analysis (DEA) | - |
dc.subject.keywordAuthor | Cross-efficiency | - |
dc.subject.keywordAuthor | Portfolio selection | - |
dc.subject.keywordAuthor | Stock market | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.