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 4
General results of the portfolio with the estimated and random horizons.
| Statistical parameters | Portfolio Esti. Hz | Portfolio 08 × 08 | Portfolio 12 × 04 | Portfolio 16 × 08 | Portfolio 20 × 04 | Portfolio 24 × 08 | Portfolio 28 × 04 |
| Average monthly return | 0.64% | −0.31% | 0.23% | −0.53% | −0.23% | 0.12% | −0.08% | Monthly standard deviation | 4.23% | 3.85% | 4.69% | 3.81% | 4.29% | 4.09% | 4.09% | Cumulative return | 8.02% | −5.24% | 1.74% | −8.03% | −4.30% | 0.57% | −2.15% | Estimated annual return | 7.90% | −3.71% | 2.76% | −6.16% | −2.68% | 1.44% | −0.92% | Annual standard deviation estimate | 14.66% | 13.35% | 16.25% | 13.20% | 14.87% | 14.16% | 14.18% | Beta | 0.767 | 0.603 | 0.853 | 0.659 | 0.781 | 0.744 | 0.727 | value of normality | 0.869 | 0.375 | 0.904 | 0.180 | 0.279 | 0.348 | 0.813 | Estimated annual difference | — | 11.61% | 5.14% | 14.06% | 10.58% | 6.46% | 8.82% | value hypothesis | — | 0.019 | 0.194 | 0.007 | 0.035 | 0.123 | 0.059 |
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