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Portfolio Selection Using Data Envelopment Analysis, Vishal Bhagia, Colleen Monica K. Chiu, Paulynne Castillo, Roberto Raymundo, Joel Q. Tanchuco

Angelo King Institute for Economic and Business Studies (AKI)

There has been a growing interest in applying data envelopment analysis (DEA) as a non-parametric approach in portfolio optimization due to its flexibility in overcoming the limitations of the conventional mean-variance portfolio (MVP) model. Therefore, this study highlights the use of DEA as a portfolio selection tool that may encourage individuals to invest in the Philippine stock market for its ability to integrate any technical and fundamental factors. This study shows that the DEA model outperforms the MVP model in terms of risk-adjusted returns. However, the investor may need to change the model used to generate the highest returns because …