Improving DEA cross-efficiency optimization in portfolio selection

作者：

Highlights：

• Reveals the role of alternative optimal solutions for portfolio selection using DEA cross-evaluation.

• Improves the result of the mean-variance portfolio selection method.

• Identifies superior stocks in the Tehran stock market.

摘要

•Reveals the role of alternative optimal solutions for portfolio selection using DEA cross-evaluation.•Improves the result of the mean-variance portfolio selection method.•Identifies superior stocks in the Tehran stock market.

论文关键词：Data envelopment analysis (DEA),Cross-efficiency,Portfolio selection,Alternative optimal solutions

论文评审过程：Received 8 May 2020, Revised 7 November 2020, Accepted 7 November 2020, Available online 13 November 2020, Version of Record 24 January 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.114280