Portfolio selection by a two stage DEA model

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on two stage DEA for portfolio selection, decision making units which is mutual fund. First, DMUs efficiencies are computed based on input/output, and then the generation of a portfolio is carried out by a DEA model. Finally, by using DEA Model, we determined optimal portfolio stocks for investors in the Tehran stock exchange

کلیدواژه ها:

DEA ، two stage ، Portfolio selection