Portfolio optimization with asset preselection using data envelopment analysis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10250898" target="_blank" >RIV/61989100:27510/23:10250898 - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s10100-022-00808-2#citeas" target="_blank" >https://link.springer.com/article/10.1007/s10100-022-00808-2#citeas</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10100-022-00808-2" target="_blank" >10.1007/s10100-022-00808-2</a>

Result language
angličtina
Original language name
Portfolio optimization with asset preselection using data envelopment analysis
Original language description
This paper uses data envelopment analysis (DEA) approach as a nonparametric efficiency analysis tool to preselect efficient assets in large-scale portfolio problems. Thus, we reduce the dimensionality of portfolio problems, considering multiple asset performance criteria in a linear DEA model. We first introduce several reward/risk criteria that are typically used in portfolio literature to identify features of financial returns. Secondly, we suggest some DEA input/output sets for preselecting efficient assets in a large-scale portfolio framework. Then, we evaluate the impact of the preselected assets in different portfolio optimization strategies. In particular, we propose an ex-post empirical analysis based on two alternative datasets: the components of S &P500 and the Fama and French 100 portfolio formed on size and book to market. According to this empirical analysis we observe better performances of the DEA preselection than the classic PCA factor models for large scale portfolio selection problems. Moreover, the proposed model outperform the S &P500 index and the strategy based on the fully diversified portfolio.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50200 - Economics and Business

Project
<a href="/en/project/GA19-11965S" target="_blank" >GA19-11965S: A network approach to portfolio optimization and tracking problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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