Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market.
Sungmook LimKwang Wuk OhJoe ZhuPublished in: Eur. J. Oper. Res. (2014)
Keyphrases
- stock market
- portfolio selection
- financial markets
- portfolio optimization
- short term
- stock price
- portfolio management
- stock exchange
- trading rules
- long term
- stock trading
- financial data
- data envelopment analysis
- listed companies
- stock index futures
- stock returns
- stock data
- financial time series
- financial news
- multiple objectives
- dea model
- linear programming
- optimal portfolio
- market data
- garch model
- robust optimization
- exchange rate
- source code