DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET
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 i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Croatian Operational Research Society
2012-12-01
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| Series: | Croatian Operational Research Review |
| Subjects: | |
| Online Access: | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142462 |
| _version_ | 1811318586476593152 |
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| author | Margareta Gardijan Vedran Kojić |
| author_facet | Margareta Gardijan Vedran Kojić |
| author_sort | Margareta Gardijan |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-13T12:28:28Z |
| format | Article |
| id | doaj.art-efffc45a86654adb8a17049a85ca9daa |
| institution | Directory Open Access Journal |
| issn | 1848-0225 1848-9931 |
| language | English |
| last_indexed | 2024-04-13T12:28:28Z |
| publishDate | 2012-12-01 |
| publisher | Croatian Operational Research Society |
| record_format | Article |
| series | Croatian Operational Research Review |
| spelling | doaj.art-efffc45a86654adb8a17049a85ca9daa2022-12-22T02:46:57ZengCroatian Operational Research SocietyCroatian Operational Research Review1848-02251848-99312012-12-0131203212DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKETMargareta Gardijan0Vedran Kojić1Faculty of Economics and Business, University of Zagreb, Zagreb, CroatiaFaculty of Economics and Business, University of Zagreb, Zagreb, CroatiaThis 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.http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142462data envelopment analysisinvestment strategystock portfolioefficiency |
| spellingShingle | Margareta Gardijan Vedran Kojić DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET Croatian Operational Research Review data envelopment analysis investment strategy stock portfolio efficiency |
| title | DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET |
| title_full | DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET |
| title_fullStr | DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET |
| title_full_unstemmed | DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET |
| title_short | DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET |
| title_sort | dea based investment strategy and its application in the croatian stock market |
| topic | data envelopment analysis investment strategy stock portfolio efficiency |
| url | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=142462 |
| work_keys_str_mv | AT margaretagardijan deabasedinvestmentstrategyanditsapplicationinthecroatianstockmarket AT vedrankojic deabasedinvestmentstrategyanditsapplicationinthecroatianstockmarket |