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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
Joint Authors
Pamplona, Edson de Oliveira
Isaias, José Claudio
Gomes, José Henrique de Freitas
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-09-09
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1075186