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 parametersPortfolio Esti. HzPortfolio
08 × 08
Portfolio
12 × 04
Portfolio
16 × 08
Portfolio
20 × 04
Portfolio
24 × 08
Portfolio
28 × 04

Average monthly return0.64%−0.31%0.23%−0.53%−0.23%0.12%−0.08%
Monthly standard deviation4.23%3.85%4.69%3.81%4.29%4.09%4.09%
Cumulative return8.02%−5.24%1.74%−8.03%−4.30%0.57%−2.15%
Estimated annual return7.90%−3.71%2.76%−6.16%−2.68%1.44%−0.92%
Annual standard deviation estimate14.66%13.35%16.25%13.20%14.87%14.16%14.18%
Beta0.7670.6030.8530.6590.7810.7440.727
value of normality0.869 0.375 0.904 0.180 0.279 0.348 0.813
Estimated annual difference11.61%5.14%14.06%10.58%6.46%8.82%
value hypothesis0.019 0.194 0.007 0.035 0.123 0.059