Enhancement of equity portfolio performance using data envelopment analysis

► The DEA efficiency scores provide a useful basis for the purposes of equity portfolio selection. ► DEA is capable for combining value and momentum indicators into a single efficiency score. ► DEA is particularly useful in cases in which the number of stocks in the sample is large. This paper exami...

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Bibliographic details
Volume: 220
Main Author: Pätäri, Eero
Leivo, Timo
Honkapuro, Samuli
Format: Journal Article
Language: English
Zielgruppe: Trade
Academic
Place of publication: AMSTERDAM Elsevier B.V 01.08.2012
ELSEVIER
Elsevier
published in: European journal of operational research Vol. 220; no. 3; pp. 786 - 797
ORCID: 0000-0002-4536-8701
0000-0001-8761-474X
Data of publication: 2012-08-01
ISSN: 0377-2217
1872-6860
EISSN: 1872-6860
Discipline: Engineering
Computer Science
Business
Mathematics
Applied Sciences
Statistics
Subjects:
DEA
Online Access: available in Bonn?
CODEN: EJORDT
Database: Social Sciences Citation Index
Web of Science - Science Citation Index Expanded - 2012
Web of Science - Social Sciences Citation Index - 2012
Web of Knowledge
Science Citation Index Expanded
Web of Science
Pascal-Francis
CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS