{"id":59791,"date":"2015-11-17T10:06:28","date_gmt":"2015-11-17T10:06:28","guid":{"rendered":"http:\/\/www.irantahgig.ir\/?p=59791"},"modified":"2015-11-17T10:06:28","modified_gmt":"2015-11-17T10:06:28","slug":"%d8%a7%d8%b3%d8%aa%d9%81%d8%a7%d8%af%d9%87-%d8%a7%d8%b2-%d8%a7%d8%b1%d8%b2%db%8c%d8%a7%d8%a8%db%8c-%d8%a8%d8%a7%d8%b2%d8%af%d9%87-%d8%aa%d8%b1%da%a9%db%8c%d8%a8%db%8c-dea-%d8%af%d8%b1-%d8%a7%d9%86","status":"publish","type":"post","link":"http:\/\/www.irantahgig.ir\/?p=59791","title":{"rendered":"\u0627\u0633\u062a\u0641\u0627\u062f\u0647 \u0627\u0632 \u0627\u0631\u0632\u06cc\u0627\u0628\u06cc \u0628\u0627\u0632\u062f\u0647 \u062a\u0631\u06a9\u06cc\u0628\u06cc DEA \u062f\u0631 \u0627\u0646\u062a\u062e\u0627\u0628 \u0633\u0647\u0627\u0645: \u06cc\u06a9 \u0628\u0631\u0646\u0627\u0645\u0647 \u06a9\u0627\u0631\u0628\u0631\u062f\u06cc \u062f\u0631 \u0628\u0627\u0632\u0627\u0631 \u0633\u0647\u0627\u0645 \u06a9\u0631\u0647 \u0627\u06cc"},"content":{"rendered":"

Use of DEA cross-ef\ufb01ciency evaluation in portfolio selection An application to Korean stock market<\/span><\/p>\n

\u062a\u0627\u0631\u06cc\u062e:<\/strong> \u06f2\u06f0\u06f1\u06f4<\/span><\/p>\n

\u067e\u0627\u06cc\u06af\u0627\u0647: <\/strong>\u0627\u0644\u0632\u0648\u06cc\u0631<\/span><\/p>\n

\u0644\u06cc\u0646\u06a9 \u062f\u0627\u0646\u0644\u0648\u062f \u0627\u0635\u0644 \u0645\u0642\u0627\u0644\u0647<\/a><\/span><\/p>\n

\"OK\"\"\"<\/span><\/p>\n

\t

\n\n\t\t\n\t\t
\n\t\t\t200,000 \u0631\u06cc\u0627\u0644 – \u0627\u0636\u0627\u0641\u0647 \u06a9\u0631\u062f\u0646 \u0628\u0647 \u0633\u0628\u062f \u062e\u0631\u06cc\u062f<\/span> <\/span><\/a>\u0646\u0647\u0627\u06cc\u06cc \u06a9\u0631\u062f\u0646 \u062e\u0631\u06cc\u062f<\/a>\n\t\t\t\t\t\t\t\n\t\t\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t\t\t\t\n\t\t\t\t\t\t<\/svg>\n\t\t\t\t\t\t\u0645\u0648\u0631\u062f \u0628\u0647 \u0633\u0628\u062f \u062e\u0631\u06cc\u062f \u0627\u0636\u0627\u0641\u0647 \u0634\u062f\t\t\t\t\t<\/span>\n\t\t\t\t<\/span>\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\n\t\t

\"\"<\/span><\/p>\n

\u0646\u0627\u0645 \u0645\u062c\u0644\u0647:\u00a0<\/strong>European Journal of Operational Research<\/span><\/span><\/p>\n

\u0642\u06cc\u0645\u062a:<\/strong> \u06f2\u06f0\u06f0,\u06f0\u06f0\u06f0 \u0631\u06cc\u0627\u0644<\/span><\/p>\n

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\u062a\u0639\u062f\u0627\u062f \u0635\u0641\u062d\u0627\u062a \u0641\u0627\u0631\u0633\u06cc:<\/strong> \u06f2\u06f1<\/span><\/p>\n

\u06a9\u062f:<\/strong> <\/strong>\u06f2\u06f0\u06f2\u06f0\u06f2<\/span><\/p>\n

\u0686\u06a9\u06cc\u062f\u0647 \u0641\u0627\u0631\u0633\u06cc<\/span><\/h3>\n

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\u0686\u06a9\u06cc\u062f\u0647 \u0627\u0646\u06af\u0644\u06cc\u0633\u06cc<\/span><\/h3>\n

We propose a way of using DEA cross-ef\ufb01ciency evaluation in portfolio selection. While cross ef\ufb01ciency is an approach developed for peer evaluation, we improve its use in portfolio selection. In addition to (average) cross-ef\ufb01ciency scores, we suggest to examine the variations of cross-ef\ufb01ciencies, and to incorporate two statistics of cross-ef\ufb01ciencies into the mean-variance formulation of portfolio selection. Two bene\ufb01ts are attained by our proposed approach. One is selection of portfolios well-diversi\ufb01ed in terms of their performance on multiple evaluation criteria, and the other is alleviation of the so-called \u2018\u2018ganging together\u2019\u2019 phenomenon of DEA cross-ef\ufb01ciency evaluation in portfolio selection. We apply the proposed approach to stock portfolio selection in the Korean stock market, and demonstrate that the proposed approach can be a promising tool for stock portfolio selection by showing that the selected portfolio yields higher risk-adjusted returns than other benchmark portfolios for a 9-year sample period from2002 to 2011<\/span><\/p>\n

\u0645\u0634\u062e\u0635\u0627\u062a \u0627\u0633\u062a\u0646\u0627\u062f\u06cc<\/strong><\/span><\/h3>\n

Lim, S., Oh, K. W., & Zhu, J. (2014). Use of DEA cross-efficiency evaluation in portfolio selection: An application to Korean stock market. European Journal of Operational Research, 236(1), 361-368<\/span><\/p>\n

\u062f\u0627\u0646\u0644\u0648\u062f \u0627\u0635\u0644 \u0645\u0642\u0627\u0644\u0647<\/span><\/h3>\n

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\u0645\u0642\u0627\u0644\u0647 “\u0627\u0633\u062a\u0641\u0627\u062f\u0647 \u0627\u0632 \u0627\u0631\u0632\u06cc\u0627\u0628\u06cc \u0628\u0627\u0632\u062f\u0647 \u062a\u0631\u06a9\u06cc\u0628\u06cc DEA<\/span> \u062f\u0631 \u0627\u0646\u062a\u062e\u0627\u0628 \u0633\u0647\u0627\u0645: \u06cc\u06a9 \u0628\u0631\u0646\u0627\u0645\u0647 \u06a9\u0627\u0631\u0628\u0631\u062f\u06cc \u062f\u0631 \u0628\u0627\u0632\u0627\u0631 \u0633\u0647\u0627\u0645 \u06a9\u0631\u0647 \u0627\u06cc” \u062f\u0631 \u0633\u0627\u0644 \u06f2\u06f0\u06f1\u06f4 \u062f\u0631 \u0645\u062c\u0644\u0647\u00a0European Journal of Operational Research <\/span>\u0686\u0627\u067e \u0634\u062f\u0647 \u0648 \u062f\u0631 \u067e\u0627\u06cc\u06af\u0627\u0647 \u0627\u0637\u0644\u0627\u0639\u0627\u062a\u06cc \u0627\u0644\u0632\u0648\u06cc\u0631 \u0646\u0645\u0627\u06cc\u0647 \u0634\u062f\u0647 \u0627\u0633\u062a. \u0647\u0645\u0686\u0646\u06cc\u0646 \u0628\u0631 \u0627\u0633\u0627\u0633 \u0622\u0645\u0627\u0631\u0647\u0627\u06cc \u067e\u0627\u06cc\u06af\u0627\u0647 \u0627\u0637\u0644\u0627\u0639\u0627\u062a\u06cc \u06af\u0648\u06af\u0644 \u0627\u0633\u06a9\u0648\u0644\u0627\u0631 \u0627\u06cc\u0646 \u0645\u0642\u0627\u0644\u0647 \u062a\u0627\u06a9\u0646\u0648\u0646 \u0628\u06cc\u0634 \u0627\u0632 \u06f1\u06f8 \u0628\u0627\u0631 \u0645\u0648\u0631\u062f \u0627\u0633\u062a\u0646\u0627\u062f \u0642\u0631\u0627\u0631 \u06af\u0631\u0641\u062a\u0647 \u0627\u0633\u062a.<\/span><\/p>\n

\t\n\n\t\t\n\t\t

\n\t\t\t200,000 \u0631\u06cc\u0627\u0644 – \u0627\u0636\u0627\u0641\u0647 \u06a9\u0631\u062f\u0646 \u0628\u0647 \u0633\u0628\u062f \u062e\u0631\u06cc\u062f<\/span> <\/span><\/a>\u0646\u0647\u0627\u06cc\u06cc \u06a9\u0631\u062f\u0646 \u062e\u0631\u06cc\u062f<\/a>\n\t\t\t\t\t\t\t\n\t\t\t\t\t\n\t\t\t\t\t\t\n\t\t\t\t\t\t\t\n\t\t\t\t\t\t<\/svg>\n\t\t\t\t\t\t\u0645\u0648\u0631\u062f \u0628\u0647 \u0633\u0628\u062f \u062e\u0631\u06cc\u062f \u0627\u0636\u0627\u0641\u0647 \u0634\u062f\t\t\t\t\t<\/span>\n\t\t\t\t<\/span>\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\n\t\t

Use of DEA cross-ef\ufb01ciency evaluation in portfolio selection An application to Korean stock market \u062a\u0627\u0631\u06cc\u062e: \u06f2\u06f0\u06f1\u06f4 \u067e\u0627\u06cc\u06af\u0627\u0647: \u0627\u0644\u0632\u0648\u06cc\u0631 \u0644\u06cc\u0646\u06a9 \u062f\u0627\u0646\u0644\u0648\u062f \u0627\u0635\u0644 \u0645\u0642\u0627\u0644\u0647<\/p>\n","protected":false},"author":3,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":[],"categories":[84,127,128,189,190],"tags":[],"_links":{"self":[{"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=\/wp\/v2\/posts\/59791"}],"collection":[{"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=59791"}],"version-history":[{"count":1,"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=\/wp\/v2\/posts\/59791\/revisions"}],"predecessor-version":[{"id":59793,"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=\/wp\/v2\/posts\/59791\/revisions\/59793"}],"wp:attachment":[{"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=59791"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=59791"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/www.irantahgig.ir\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=59791"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}