A Two-Phase Data Envelopment Analysis Model for Portfolio Selection
Joint Authors
Lengacher, David
Cammarata, Craig
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-12-31
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Economics & Business Administration
Business Administration
Abstract EN
When organizations do not have well defined goals and constraints, traditional mixed integer programming (MIP) models are ineffective for portfolio selection.
In such cases, some organizations revert to building project portfolios based on data envelopment analysis (DEA) relative efficiency scores.
However, implementing the k most efficient projects until resources are expended will not always result in the most efficient portfolio.
This is because relative efficiency scores are not additive.
Instead, the efficiency of each candidate portfolio must be evaluated against all possible portfolios, making for a computationally intensive task.
This paper has two main contributions to the literature.
First, we introduce a new DEA-MIP model which can identify the most efficient portfolio capable of meeting organizational goals at incremental resource levels.
Second, by utilizing a second-stage DEA model to calculate the relative effectiveness of each most efficient portfolio, we provide managers, a tool for justifying budget increases or defending existing budget levels.
American Psychological Association (APA)
Lengacher, David& Cammarata, Craig. 2012. A Two-Phase Data Envelopment Analysis Model for Portfolio Selection. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-9.
https://search.emarefa.net/detail/BIM-504802
Modern Language Association (MLA)
Lengacher, David& Cammarata, Craig. A Two-Phase Data Envelopment Analysis Model for Portfolio Selection. Advances in Decision Sciences No. 2012 (2012), pp.1-9.
https://search.emarefa.net/detail/BIM-504802
American Medical Association (AMA)
Lengacher, David& Cammarata, Craig. A Two-Phase Data Envelopment Analysis Model for Portfolio Selection. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-9.
https://search.emarefa.net/detail/BIM-504802
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-504802