DEA-BASED INVESTMENT STRATEGY AND ITS APPLICATION IN THE CROATIAN STOCK MARKET

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Gardijan, Margareta; Kojić, Vedran;
(2012)
  • Publisher: Croatian Operational Research Society
  • Journal: Croatian Operational Research Review,volume 3,issue 1 (issn: 1848-0225, eissn: 1848-9931)
  • Publisher copyright policies & self-archiving
  • Subject: efficiency | investment strategy | Applied mathematics. Quantitative methods | data envelopment analysis | T57-57.97 | stock portfolio | data envelopment analysis; investment strategy; stock portfolio; efficiency

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 CC... View more
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