Estimating the Efficient Portfolio in Non-Radial DEA and DEA-R Models

Abstract

The portfolio is a perfect combination of stock or assets, which an investor buys them. The objective of the portfolio is to divide the investment risk among several shares. Using non-parametric DEA and DEA-R methods can be of great significance in estimating portfolio. In the present paper, the efficient portfolio is estimated by using non-radial DEA and DEA-R models. By proposing non-radial models in DEA-R when there is ratio data the efficient portfolio is determined. At the end of the study, an applicatory example based on article [2] with non-radial DEA and DEA-R models has been conducted and results are presented.