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Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio
المؤلفون المشاركون
Pamplona, Edson de Oliveira
Isaias, José Claudio
Gomes, José Henrique de Freitas
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2015، العدد 2015 (31 ديسمبر/كانون الأول 2015)، ص ص. 1-14، 14ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2015-09-09
دولة النشر
مصر
عدد الصفحات
14
التخصصات الرئيسية
الملخص EN
In the selecting of stock portfolios, one type of analysis that has shown good results is Data Envelopment Analysis (DEA).
It, however, has been shown to have gaps regarding its estimates of monthly time horizons of data collection for the selection of stock portfolios and of monthly time horizons for the maintenance of a selected portfolio.
To better estimate these horizons, this study proposes a model of mathematical programming binary of minimization of square errors.
This model is the paper’s main contribution.
The model’s results are validated by simulating the estimated annual return indexes of a portfolio that uses both horizons estimated and of other portfolios that do not use these horizons.
The simulation shows that portfolios with both horizons estimated have higher indexes, on average 6.99% per year.
The hypothesis tests confirm the statistically significant superiority of the results of the proposed mathematical model’s indexes.
The model’s indexes are also compared with portfolios that use just one of the horizons estimated; here the indexes of the dual-horizon portfolios outperform the single-horizon portfolios, though with a decrease in percentage of statistically significant superiority.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Isaias, José Claudio& Pamplona, Edson de Oliveira& Gomes, José Henrique de Freitas. 2015. Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-14.
https://search.emarefa.net/detail/BIM-1075186
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Isaias, José Claudio…[et al.]. Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio. Mathematical Problems in Engineering No. 2015 (2015), pp.1-14.
https://search.emarefa.net/detail/BIM-1075186
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Isaias, José Claudio& Pamplona, Edson de Oliveira& Gomes, José Henrique de Freitas. Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-14.
https://search.emarefa.net/detail/BIM-1075186
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1075186
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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