Combination value investing and momentum investing to stock selection using data envelopment analysis

@inproceedings{Alvandi2013CombinationVI,
  title={Combination value investing and momentum investing to stock selection using data envelopment analysis},
  author={Mohsen Alvandi and Safar Fazli and Ahmad HashemiSiavoshani},
  year={2013}
}
This paper examines the applicability of data envelopment analysis (DEA) as a basis of selection criteria for equity portfolios. In Iran, it is the first DEA application for constructing a combined equity investment strategy that aims to integrate the benefits of both value investing and momentum investing. Efficiency score are calculated by DEA models and then highest score should be in the optimal portfolio. The performance of portfolio is evaluated on the basis of the average return and… CONTINUE READING

Tables from this paper.

References

Publications referenced by this paper.
SHOWING 1-10 OF 35 REFERENCES

Accounting and Auditing Reviews

Stock Exchange
  • European Journal of Operation Research;
  • 2007
VIEW 5 EXCERPTS
HIGHLY INFLUENTIAL

Does the riskadjustment method matter at all in hedge fund ranking ?

EJ Patari
  • International Research Journal of Finance and Economics
  • 2011
VIEW 1 EXCERPT

Apseudo - Bayesian model in financial decision making with implications to market volatility , underand overreaction

K Lam, T Liu, WK Wang
  • European Journal of operational Research
  • 2010
VIEW 1 EXCERPT

Apseudo-Bayesian model in financial decision making with implications to market volatility, under-and

T Liu, WK. Wang
  • Tehran Stock Exchange. Journal of Humanities and Social Sciences University of Shiraz;
  • 2010

Portfolio symmetry and momentum

  • European Journal of Operational Research
  • 2009
VIEW 1 EXCERPT

Selection and portfolio optimization using genetic algorithms based different definition of risk

M Garkaz, A Abasi, M Moghadasi
  • Journal of industrial management Islamic Azad University
  • 2009

Stock selection using data envelopment analysis

  • Industrial Management and Data Systems
  • 2008

The portfolio Chosen using three criteria , average return , the standard deviation of returns and liquidity in Tehran Stock Exchange

G Bidgholi, A Saranj
  • Accounting and Auditing Reviews
  • 2008