DEA investment strategy in the Brazilian stock market

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Newton da Costa, Jr.; Marcus Lima; Edgar Lanzer; Ana Lopes;
  • Journal: Economics Bulletin,volume 13,issue 2,pages1-10
  • Subject:
    • jel: jel:M2 | jel:M0

This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyze... View more
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