Empirical Analysis of Portfolio Optimization Based on DEA Model

Abstract

The asset evaluation process plays an important role in portfolio optimization because it is the prerequisite for investment decision making and directly influences on the asset allocation. This paper presents an evaluation analysis of stock investment for portfolio optimization based on data envelopment analysis (DEA) model. Considering the relationship between portfolio return and risk, the efficient DEA models and relative evaluation criteria are established. The empirical analysis is conducted on twenty-seven stocks selected from five industrial sectors of China A-share stock market, and a comparative analysis is extended for the fundamental and weight-restricted DEA models.