Research Article
Model to Estimate Monthly Time Horizons for Application of DEA in Selection of Stock Portfolio and for Maintenance of the Selected Portfolio
Table 3
General results of the portfolio with horizons estimated by the proposed mathematical model.
| (a) |
| | Month | Monthly return |
| | 2013/May | −0.44% | | 2013/June | −7.13% | | 2013/July | 1.93% | | 2013/Aug. | 0.08% | | 2013/Sep. | 5.20% | | 2013/Oct. | 4.09% | | 2013/Nov. | −1.69% | | 2013/Dec. | −1.48% | | 2014/Jan. | −4.73% | | 2014/Feb. | −2.56% | | 2014/Mar. | 8.47% | | 2014/Apr. | 3.65% | | 2014/May | −0.97% | | 2014/June | 4.47% |
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| (b) |
| | Other parameters | Value |
| | Average monthly return | 0.64% | | Monthly standard deviation | 4.23% | | Cumulative return | 8.02% | | Estimated annual return | 7.90% | | Annual standard deviation estimate | 14.66% | | value of normality | 0.869 |
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