J4 ›› 2011, Vol. 46 ›› Issue (2): 82-88.

• Articles • Previous Articles     Next Articles

Application of DEA method on identifying a portfolio

CUI Yu-quan1, MA Li-jie2, ZHAO Jing3, BAI Jin-yan4   

  1. 1. School of Mathematics, Shandong University, Jinan 250100, Shandong, China;
    2. School of Mathematics, Shandong Normal University, Jinan 250104, Shandong, China;
    3. Division of Science and Technology, University of Science and Technology of China, Hefei 230026, Anhui, China;
    4. School of Statistics, Renmin University of China, Beijing 100872, China
  • Received:2010-09-15 Online:2011-02-16 Published:2011-03-30


Data envelopment analysis is introduced into the field of investment, some results on how to identify efficient securities by DEA with the security return representing outputs and security risk representing inputs are obtained. A new DEA model is proposed to obtain the optimal portfolio and an algorithm for this model is given.

Key words:  portfolio; return; risk; data envelopment analysis; relative efficiency

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