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Investment Strategy on the Zagreb Stock Exchange Based on Dynamic DEA

Croatian Economic Survey, 2014-04, Vol.16 (1), p.129-160 [Peer Reviewed Journal]

Copyright The Institute of Economics, Zagreb Apr 2014 ;ISSN: 1330-4860 ;EISSN: 1846-3878 ;DOI: 10.15179/ces.16.1.5

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Title:
Investment Strategy on the Zagreb Stock Exchange Based on Dynamic DEA
Author: Skrinjaric, Tihana
Subjects: Data envelopment analysis ; Data Envelopment Analysis (DEA) ; Dynamic Slacks-Based Measure (DSBM) ; Dynamic Slacks-Based Measure (DSBM); Data Envelopment Analysis (DEA); portfolio; stock market; Zagreb Stock Exchange ; Economic models ; Financial analysis ; Investment analysis ; Investment policy ; New stock market listings ; Operations research ; portfolio ; Portfolio management ; Quantitative analysis ; Securities markets ; Stock exchange ; Stock exchanges ; stock market ; Studies ; Zagreb Stock Exchange
Is Part Of: Croatian Economic Survey, 2014-04, Vol.16 (1), p.129-160
Description: Nowadays, there is a growing interest in the application of quantitative methods in portfolio management, as the results of their application can be used as guidelines for managing a successful investment portfolio, i.e., a portfolio that outperforms the market. This paper deals with the Data Envelopment Analysis (DEA) approach and a Dynamic Slacks-Based Measure as a method of forming a portfolio which would predominantly outperform the market. In order to test the strategy, data on stocks listed on the Zagreb Stock Exchange were gathered for the period April 2009 - June 2012. Using the quarterly returns, standard deviations and coefficients of skewness as links, a dynamic slacks-based measure approach was applied to evaluate the relative efficiency of stocks in each quarter. The findings indicate that a portfolio based on the results of the optimization beats the market in terms of both returns and risk. This is the first implementation of the dynamic DEA model in stock trading. The results suggest that it is superior to basic DEA models.
Publisher: Zagreb: The Institute of Economics, Zagreb
Language: English
Identifier: ISSN: 1330-4860
EISSN: 1846-3878
DOI: 10.15179/ces.16.1.5
Source: DOAJ Directory of Open Access Journals
ProQuest Central

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Investment Strategy on the Zagreb Stock Exchange Based on Dynamic DEA

Copyright The Institute of Economics, Zagreb Apr 2014 ;ISSN: 1330-4860 ;EISSN: 1846-3878 ;DOI: 10.15179/ces.16.1.5

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