Table of Contents
ISRN Applied Mathematics
Volume 2014, Article ID 978314, 12 pages
http://dx.doi.org/10.1155/2014/978314
Research Article

Selecting the Best of Portfolio Using OWA Operator Weights in Cross Efficiency-Evaluation

1Department of Applied Mathematics, Islamic Azad University, Central Tehran Branch, Tehran, Iran
2Department of Mathematics, Computer and Statistics, Faculty of Economics, Allameh Tabataba'i University, Central Tehran Branch, Tehran, Iran

Received 9 December 2013; Accepted 15 January 2014; Published 19 March 2014

Academic Editors: C. Join and F. Sartoretto

Copyright © 2014 Masoud Sanei and Shokoofeh Banihashemi. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. H. M. Markowitz, “Portfolio selection,” Journal of Finance, vol. 7, pp. 77–91, 1957. View at Google Scholar
  2. W. F. Sharpe, “Capital asset prices: a theory of market equilibrium under conditions of risk,” Journal of Finance, vol. 19, pp. 425–442, 1964. View at Google Scholar
  3. A. Charnes, W. W. Cooper, and E. Rhodes, “Measuring the efficiency of decision making units,” European Journal of Operational Research, vol. 2, no. 6, pp. 429–444, 1978. View at Google Scholar · View at Scopus
  4. M. R. Morey and R. C. Morey, “Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking,” Omega, vol. 27, no. 2, pp. 241–258, 1999. View at Publisher · View at Google Scholar · View at Scopus
  5. T. Joro and P. Na, “Portfolio performance evaluation in a mean-variance-skewness framework,” European Journal of Operational Research, vol. 175, no. 1, pp. 446–461, 2006. View at Publisher · View at Google Scholar · View at Scopus
  6. T. R. Sexton, R. H. Silkman, and A. J. Hogan, “Data envelopment analysis: critique and extensions,” in Measuring Efficiency: An Assessment of Data Envelopment Analysis, R. H. Silkman, Ed., pp. 73–105, Jossey-Bass, San Francisco, Calif, USA, 1986. View at Google Scholar
  7. R. H. Green, J. R. Doyle, and W. D. Cook, “Preference voting and project ranking using DEA and cross-evaluation,” European Journal of Operational Research, vol. 90, no. 3, pp. 461–472, 1996. View at Publisher · View at Google Scholar · View at Scopus
  8. J. Wu, L. Liang, and Y. C. Zha, “Preference voting and ranking using DEA game cross efficiency model,” Journal of the Operations Research Society of Japan, vol. 52, no. 2, pp. 105–111, 2009. View at Google Scholar · View at Scopus
  9. W.-M. Lu and S.-F. Lo, “A closer look at the economic-environmental disparities for regional development in China,” European Journal of Operational Research, vol. 183, no. 2, pp. 882–894, 2007. View at Publisher · View at Google Scholar · View at Scopus
  10. W.-M. Lu and S.-F. Lo, “A benchmark-learning roadmap for regional sustainable development in China,” Journal of the Operational Research Society, vol. 58, no. 7, pp. 841–849, 2007. View at Publisher · View at Google Scholar · View at Scopus
  11. J. Wu, L. Liang, D. Wu, and F. Yang, “Olympics ranking and benchmarking based on cross efficiency evaluation method and cluster analysis: the case of Sydney 2000,” International Journal of Enterprise Network Management, vol. 2, pp. 377–392, 2008. View at Google Scholar
  12. J. Wu, L. Liang, and F. Yang, “Achievement and benchmarking of countries at the Summer Olympics using cross efficiency evaluation method,” European Journal of Operational Research, vol. 197, no. 2, pp. 722–730, 2009. View at Publisher · View at Google Scholar · View at Scopus
  13. J. Wu, L. Liang, and Y. Chen, “DEA game cross-efficiency approach to Olympic rankings,” Omega, vol. 37, no. 4, pp. 909–918, 2009. View at Publisher · View at Google Scholar · View at Scopus
  14. J. Doyle and R. Green, “Efficiency and cross-efficiency in DEA: derivations, meanings and uses,” Journal of the Operational Research Society, vol. 45, no. 5, pp. 567–578, 1994. View at Google Scholar · View at Scopus
  15. J. R. Doyle and R. H. Green, “Cross-evaluation in DEA: improving discrimination among DMUs,” INFOR, vol. 33, pp. 205–222, 1995. View at Google Scholar
  16. L. Liang, J. Wu, W. D. Cook, and J. Zhu, “The DEA game cross-efficiency model and its nash equilibrium,” Operations Research, vol. 56, no. 5, pp. 1278–1288, 2008. View at Publisher · View at Google Scholar · View at Scopus
  17. Y.-M. Wang and K.-S. Chin, “The use of OWA operator weights for cross-efficiency aggregation,” Omega, vol. 39, no. 5, pp. 493–503, 2011. View at Publisher · View at Google Scholar · View at Scopus
  18. Y.-M. Wang and C. Parkan, “A minimax disparity approach for obtaining OWA operator weights,” Information Sciences, vol. 175, no. 1-2, pp. 20–29, 2005. View at Publisher · View at Google Scholar · View at Scopus
  19. W. F. Sharpe, “Investment,” in Envelopment Analysis, Management Science, vol. 30, pp. 1078–1092, Prentice-Hall, 3rd edition, 1985. View at Google Scholar
  20. A. Charnes, W. W. Cooper, A. Y. Lewin, and L. M. Seiford, Eds., Data Envelopment Analysis: Theory, Methodology and Applications, Kluwer Academic Publishers, Boston, Mass, USA, 1994.
  21. R. R. Yager, “On ordered weighted averaging aggregation operators in multi- criteria decision making,” IEEE Transactions on Systems, Man and Cybernetics, vol. 18, no. 1, pp. 183–190, 1988. View at Publisher · View at Google Scholar · View at Scopus
  22. M. O'Hagan, “Aggregating template or rule antecedents in real-time expert systems with fuzzy set logic,” in Proceedings of the 22nd Annual IEEE Asilomar Conference on Signals, Systems and Computers, pp. 681–689, Pacific Grove, Calif, USA, 1988.
  23. R. D. Banker, A. Charnes, and W. W. Cooper, “Some models for estimating technical and scale inefficiencies in data envelopment analysis,” Management Science, vol. 30, no. 9, pp. 1078–1092, 1984. View at Google Scholar · View at Scopus
  24. W. D. Cook, L. Liang, and J. Zhu, “Measuring performance of two-stage network structures by DEA: a review and future perspective,” Omega, vol. 38, no. 6, pp. 423–430, 2010. View at Publisher · View at Google Scholar · View at Scopus
  25. J. C. Paradi, S. Rouatt, and H. Zhu, “Two-stage evaluation of bank branch efficiency using data envelopment analysis,” Omega, vol. 39, no. 1, pp. 99–109, 2011. View at Publisher · View at Google Scholar · View at Scopus
  26. C. Kao, “Malmquist productivity index based on common-weights DEA: the case of Taiwan forests after reorganization,” Omega, vol. 38, no. 6, pp. 484–491, 2010. View at Publisher · View at Google Scholar · View at Scopus
  27. H. Chang, H. L. Choy, W. W. Cooper, and T. W. Ruefli, “Using Malmquist Indexes to measure changes in the productivity and efficiency of US accounting firms before and after the Sarbanes-Oxley Act,” Omega, vol. 37, no. 5, pp. 951–960, 2009. View at Publisher · View at Google Scholar · View at Scopus
  28. F. Fiordelisi and P. Molyneux, “Total factor productivity and shareholder returns in banking,” Omega, vol. 38, no. 5, pp. 241–253, 2010. View at Publisher · View at Google Scholar · View at Scopus
  29. M. Asmild, J. C. Paradi, and J. T. Pastor, “Centralized resource allocation BCC models,” Omega, vol. 37, no. 1, pp. 40–49, 2009. View at Publisher · View at Google Scholar · View at Scopus