Generalized DEA model of fundamental analysis and its application to portfolio optimization

An application of data envelopment analysis for measuring the relative efficiency in banking industry

“…DEA has been extensively implemented in banking industry for many years (Camanho & Dyson, 2005;Chen et al, 2005;Sowlati et al, 2005;Edirisinghe & Zhang, 2007). Farkousha et al (2011) proposed a method to utilize balanced score card (BSC) as a tool for designing performance evaluation indices in banking industry.…”

Evaluating loans using variable benchmark data envelopment analysis

“…Morey and Morey (1999) present two basic quadratic programming approaches for identifying those funds that are strictly dominated, regardless of the weightings on different time horizons being considered, relative to their mean returns and risks. Edirisinghe and Zhang (2007) develop a DEA model to evaluate a firm's financial statements over time in order to determine a relative financial strength indicator that can predict firm's stock price returns. Zhu (2000) uses DEA to develop a multi-factor financial performance model that recognises tradeoffs among various financial measures.…”

Portfolio Risk Management: Market Neutrality, Catastrophic Risk, and Fundamental Strength

“…Since the DEA model is used to measure the (relative) financial strength of a firm, the type of input/output parameters needed are the fundamental financial metrics of firm performance. In general, such financial parameters span various operational perspectives, such as profitability, asset utilization, liquidity, leverage, valuation, and growth, see Edirisinghe & Zhang (2007;. Such data on firms is obtained from the publicly-available financial statements.…”