A Study On Portfolio Based On Data Envelopment Analysis

In recent years,accompanied by rapid economic growth,the capital market of China was also booming,general investment institutions and individual investors have witnessed this round of the bull market together since 2005.Although the stock market is at a low ebb at present,but also heralds a new round of recovery.The active stock market not only promotes the securities investment research in the stock market, but also raises investor's investment operation level in a certain extent.The practice proves that the research on decision-making for securities investment has the specially vital significance for the institution investors to formulate operation strategy and control finance risk,even for individuals to manage finance.While portfolio management is the core of decision-making for securities investment.Focusing on raising investor's level on securities investment,this paper carries on the discussion on the portfolio construction whose investment target is stock.The paper shows the trend of the stock market industry plates through the combined use of statistical methods and securities investment analysis,and uses the Data Envelopment Analysis(DEA) carry on the analysis of operational efficiency of listed companies, then establishes the evaluation indicators system that could evaluate investment value of investment objects generally,finally determines the portfolio through the application of portfolio model based on DEA.The research indicates that this paper uses DEA construct portfolio can solve some problems from another perspective which current portfolio research neglects.First,the DEA portfolio model not only compares the intrinsic value of securities or portfolios with their market value,but also considers other securities and portfolios in different investment fields.In practice,we encounter this kind of situation frequently that we have to compare and select the portfolios.If our own Investment Effectiveness Indifference Curves are not clear or Portfolio Efficiency Frontier is uncertain,then the DEA portfolio model can help us to make decisions.Next,the general portfolio model can only obtain the most superior portfolio, and investment proportion in portfolio is obtained in the linear programming computation in certain income or risk.But in the DEA portfolio model,the investment proportion may be determined by the investors according to the market condition and investment will.Most important,it can determine the value direction where the proportion that securities account for in the portfolio in the key indicator(the DEA relative validity),bringing the convenience for the proportion modification.This paper introduces DEA to the study of listed companies and construction of portfolio,provides the scientific theory basis for investors to construct portfolio, proves that it may provide much convenience for investors construct and manage portfolio,and supplies more valuable investment information for investors.