Operations Research, Systems Engineering and Industrial Engineering Commons^™

Application Of Data Envelopment Analysis To Identify Undervalued Equities On The Dow Jones Industrial Average, Ryan L. Kotzebue

Industrial and Manufacturing Engineering

Two factors that drive investors to and away from the stock market are reward and risk, respectively. By using a stock selection strategy that is quantitative, investors may feel more comfortable and secure with their decisions. However, there lacks a quantitative strategy that can produce increased returns with lower risk by purchasing a small number of stocks. The objective of this project was to formulate a quantitative stock trading strategy that produced exceptional returns with low risk while also fulfilling additional requirements to benefit the common investor.

By using a linear programming based operations research technique known as data envelopment …