Portfolio selection under DEA-based relative financial strength indicators: case of US industries

Edirisinghe, N. C. P.; Zhang, Xiu

doi:10.1057/palgrave.jors.2602442

Cited by 68 publications

(50 citation statements)

References 25 publications

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“…The concept of fundamental strength developed in the literature, often without being called so. Many practical applications of using fundamental analysis this way can be found in the following works: Hagstrom, 2007;Tarczyński, Łuniewska, 2004;Arnold, 2010;Navellier, 2007;Mauldin, 2007;Blajer-Gołębiewska, 2012;2014;Mrzygłód, Nowak, 2013;Bodie, Kane, Marcus, 2014;Arnott, Hsu, West, 2008;Edirisinghe, Zhang, 2008;Ou, Penman, 1989;Piotroski, 2000;Holthausen, Larckrer, 1992;Abad, Thore, Laffarga, 2004. Please note that the fundamental force is composed of two kinds of factors: 1) external -macroeconomic data coming from the economy; 2) internal -microeconomic information from the companies.…”

Section: The Concept and Design Of Fundamental Power Index (Fpi)mentioning

confidence: 99%

Application of The Leading Sector Identification Method in The Portfolio Analysis

Tarczyński

Łuniewska

2017

Folia Oeconomica

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The development of the stock market requires taking into account the impact of many factors. Knowledge of the entire market is a result of research at different levels of aggregation. Referring to sectors, it should be stated that the level of economic development and financial sector shapes the picture of economic and market conditions being a derivative of development level of the entities forming the market. Therefore, the possibility of identification of leading sectors or companies that have the greatest impact on the market becomes significant. This approach is important due to several reasons. One of them is the process of investing in the capital market. Thus, the main objective of the study is to provide methods of identifying the leading sector in the capital market and the use of this information in the procedure of building a portfolio of securities. The study was carried out for the Warsaw Stock Exchange in 2006–2010. Certain information in the field of fundamental factors was utilized in the analysis. Selected factors were used for the construction of the dynamic fundamental power index FPI. This paper proposes a simple method of determining the leading sector. The method takes into account information about the fundamental strengths of companies forming a sector and the number of companies comprising a given sector. Based on this information, a procedure of building a portfolio of securities was proposed. At the beginning of 2011 two types of portfolios were constructed and their effectiveness for 2011–2016 (26 IX) was verified. As a result of the research the hypothesis that selection of securities to portfolio using the leading sector identification method is better than the classical methods of portfolio analysis was proven.

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Section: The Concept and Design Of Fundamental Power Index (Fpi)mentioning

confidence: 99%

Application of The Leading Sector Identification Method in The Portfolio Analysis

Tarczyński

Łuniewska

2017

Folia Oeconomica

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“…Operating profit margin: net profit minus dividend of preferred stock divided by number of common shares outstanding Net profit margin: Net profit of a firm generates by each unit of revenue (Edirisinghe & Zhang, 2008).…”

Section: Determinants Of Stock Selection For Evaluationmentioning

confidence: 99%

“…Earnings per share: Net income minus preferred dividends divided by the number of ordinary shares (Edirisinghe & Zhang, 2008).…”

Section: Determinants Of Stock Selection For Evaluationmentioning

confidence: 99%

“…Net profit growth rate: Degree of changes in firm's net profit in a given period of time (Edirisinghe & Zhang, 2008).…”

Section: B) Growth Cluster Criteriamentioning

confidence: 99%

“…Financial leverage is another parameter that affects dividend payout policy, that is, larger financial leverage leads more dividend payments to shareholders. Firms whose return on equity ratio is relatively high sell their shares much higher than their book value (Edirisinghe & Zhang, 2008;Amiri, Shariatpanahi, & Banakar, 2010;Reilly & Brown, 2003;Lee, Chen, & Chang, 2008).…”

Section: How Criteria Of Stock Selection Affect Each Othermentioning

confidence: 99%

See 2 more Smart Citations

Portfolio Optimization Using a Combined Model of Fuzzy Network Analytic Process: An Approach Based on Similarity and Genetic Algorithm

Jahromi¹,

Kamalzadeh²,

Tajik³

2015

IJEF

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Portfolio management has always been an issue of high importance in financial markets.This paper is an attempt to introduce a new technique of portfolio selection. After presenting a review of literature on factors influencing portfolio selection, the importance of each factor is determined in regards to experts' opinions and a weight is assigned to each factor using fuzzy network analytic process technique. Consequently, using an approach based on TOPSIS and similarity, selected stocks were ranked. After depicting efficient frontiers of the top ranks obtained from both approaches, using genetic algorithm, Sharpe ratio was used in order to examine model's performance.

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Modelling stock selection using ordered weighted averaging operator

Hajjami

Amin

2018

Int. J. Intell. Syst.

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The main objective of stock selection is to select a set of assets in the stock market with high‐expected returns. There are many financial variables that affect the performance of stock firms. This paper proposes a novel linear programming model based on the ordered weighted averaging (OWA) operator for identifying superior stocks without requiring the re‐ordering process. The paper first converts a stock selection problem into a preference voting system by considering two different perspectives: an investor perspective in which the goal is to select stocks with the highest return, and a creditor perspective in which the goal is to maximize the repayment ability. The OWA operator is then used to formulate a linear programming model for identifying superior stocks. The usefulness of the proposed method in this paper is shown through an application in the Tehran stock market.

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Portfolio selection under DEA-based relative financial strength indicators: case of US industries

Cited by 68 publications

References 25 publications

Application of The Leading Sector Identification Method in The Portfolio Analysis

Application of The Leading Sector Identification Method in The Portfolio Analysis

Portfolio Optimization Using a Combined Model of Fuzzy Network Analytic Process: An Approach Based on Similarity and Genetic Algorithm

Modelling stock selection using ordered weighted averaging operator

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