An dea-cvar model to determine the ranking of financial indices if stock exchange

Ali Asghar Tatlari¹

1) Science and Research Branch, Islamic Azad University, PhD Student in Industrial Engineering

Publication : 2nd International Conference on Engineering and Applied Science(2iceasconf.com)
Abstract :
This paper deals with the optimal portfolio selection problem is a major issue in the financial field . The data envelopment analysis (DEA) technique has been found very useful for evaluating the portfolio selection. This applied study extends previous results in properly reflect the pervasive skewness in return distributions of actively managed portfolio selection. New risk measure conditional value-at-risk (CVaR) is introduced into inputs of the existing DEA models; to fairly evaluate the relative performance of the same portfolio selection during different time periods, we creatively treat the same portfolio selection during different periods as different decision making units. Except for confirming current empirical conclusions, detailed empirical analyses using data of the Tehran stock market indices show that, VaR and CVaR, especially their combinations with traditional risk measures, are very helpful for comprehensively describing return distribution properties and fund characteristics such as the asset allocation structure, which, in turn, can better evaluate the overall performance of mutual funds. Treating the same fund during different time periods as different funds can not only show the specific performance variation, but reveal the reasons for that variation.
Keywords : DEA(Data envelopment analysis) Conditional Value-at- Risk(CVaR) Value-at-Risk(VaR) portfolio selection Risk