Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization

Detalhes bibliográficos
Autor(a) principal: Rotela Junior, Paulo
Data de Publicação: 2015
Outros Autores: Pamplona, Edson de Oliveira, da Silva, Aneirson Francisco [UNESP], Salomon, Fernando Luiz Riera, Valerio, Victor Eduardo de Mello, de Carvalho, Leonardo Alves
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UNESP
Texto Completo: http://hdl.handle.net/11449/220343
Resumo: This article aims to analyze the behavior of a portfolio selected through Data Envelopment Analysis (DEA) associated with fuzzy logic and optimized using the Sharpe approach. As a basis for comparison, two other portfolios were used, one obtained through only the Sharpe approach. In this research study, a fuzzy DEA model was used to evaluate efficiency under uncertainty of the Brazilian Stock Exchange-Bovespa, by means of input and output indicators such as return, variance, earnings per share and price-earnings. The study reliably identified which efficient stocks and which were most sensitive to the effect of uncertainty. Through the comparison of portfolios, it was observed that the resulting combination of the fuzzy DEA models in which the stocks were considered efficient in both scenarios presented the best results.
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spelling Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimizationData envelopment analysisEfficiencyFuzzy logicSharpe approachStock selectionThis article aims to analyze the behavior of a portfolio selected through Data Envelopment Analysis (DEA) associated with fuzzy logic and optimized using the Sharpe approach. As a basis for comparison, two other portfolios were used, one obtained through only the Sharpe approach. In this research study, a fuzzy DEA model was used to evaluate efficiency under uncertainty of the Brazilian Stock Exchange-Bovespa, by means of input and output indicators such as return, variance, earnings per share and price-earnings. The study reliably identified which efficient stocks and which were most sensitive to the effect of uncertainty. Through the comparison of portfolios, it was observed that the resulting combination of the fuzzy DEA models in which the stocks were considered efficient in both scenarios presented the best results.Institute of Production Engineering and Management Federal University of Itajuba, BPS Avenue, 1303, PO Box: 50Department of Production Sao Paulo State University, BPS Avenue, 1303, PO Box: 50Department of Production Sao Paulo State University, BPS Avenue, 1303, PO Box: 50Federal University of ItajubaUniversidade Estadual Paulista (UNESP)Rotela Junior, PauloPamplona, Edson de Oliveirada Silva, Aneirson Francisco [UNESP]Salomon, Fernando Luiz RieraValerio, Victor Eduardo de Mellode Carvalho, Leonardo Alves2022-04-28T19:00:59Z2022-04-28T19:00:59Z2015-01-01info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article74-87WSEAS Transactions on Business and Economics, v. 12, p. 74-87.2224-28991109-9526http://hdl.handle.net/11449/2203432-s2.0-84926640139Scopusreponame:Repositório Institucional da UNESPinstname:Universidade Estadual Paulista (UNESP)instacron:UNESPengWSEAS Transactions on Business and Economicsinfo:eu-repo/semantics/openAccess2022-04-28T19:00:59Zoai:repositorio.unesp.br:11449/220343Repositório InstitucionalPUBhttp://repositorio.unesp.br/oai/requestopendoar:29462024-08-05T17:07:20.564586Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)false
dc.title.none.fl_str_mv Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
title Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
spellingShingle Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
Rotela Junior, Paulo
Data envelopment analysis
Efficiency
Fuzzy logic
Sharpe approach
Stock selection
title_short Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
title_full Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
title_fullStr Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
title_full_unstemmed Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
title_sort Data envelopment analysis and fuzzy theory: efficiency evaluation under uncertainty in portfolio optimization
author Rotela Junior, Paulo
author_facet Rotela Junior, Paulo
Pamplona, Edson de Oliveira
da Silva, Aneirson Francisco [UNESP]
Salomon, Fernando Luiz Riera
Valerio, Victor Eduardo de Mello
de Carvalho, Leonardo Alves
author_role author
author2 Pamplona, Edson de Oliveira
da Silva, Aneirson Francisco [UNESP]
Salomon, Fernando Luiz Riera
Valerio, Victor Eduardo de Mello
de Carvalho, Leonardo Alves
author2_role author
author
author
author
author
dc.contributor.none.fl_str_mv Federal University of Itajuba
Universidade Estadual Paulista (UNESP)
dc.contributor.author.fl_str_mv Rotela Junior, Paulo
Pamplona, Edson de Oliveira
da Silva, Aneirson Francisco [UNESP]
Salomon, Fernando Luiz Riera
Valerio, Victor Eduardo de Mello
de Carvalho, Leonardo Alves
dc.subject.por.fl_str_mv Data envelopment analysis
Efficiency
Fuzzy logic
Sharpe approach
Stock selection
topic Data envelopment analysis
Efficiency
Fuzzy logic
Sharpe approach
Stock selection
description This article aims to analyze the behavior of a portfolio selected through Data Envelopment Analysis (DEA) associated with fuzzy logic and optimized using the Sharpe approach. As a basis for comparison, two other portfolios were used, one obtained through only the Sharpe approach. In this research study, a fuzzy DEA model was used to evaluate efficiency under uncertainty of the Brazilian Stock Exchange-Bovespa, by means of input and output indicators such as return, variance, earnings per share and price-earnings. The study reliably identified which efficient stocks and which were most sensitive to the effect of uncertainty. Through the comparison of portfolios, it was observed that the resulting combination of the fuzzy DEA models in which the stocks were considered efficient in both scenarios presented the best results.
publishDate 2015
dc.date.none.fl_str_mv 2015-01-01
2022-04-28T19:00:59Z
2022-04-28T19:00:59Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv WSEAS Transactions on Business and Economics, v. 12, p. 74-87.
2224-2899
1109-9526
http://hdl.handle.net/11449/220343
2-s2.0-84926640139
identifier_str_mv WSEAS Transactions on Business and Economics, v. 12, p. 74-87.
2224-2899
1109-9526
2-s2.0-84926640139
url http://hdl.handle.net/11449/220343
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv WSEAS Transactions on Business and Economics
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 74-87
dc.source.none.fl_str_mv Scopus
reponame:Repositório Institucional da UNESP
instname:Universidade Estadual Paulista (UNESP)
instacron:UNESP
instname_str Universidade Estadual Paulista (UNESP)
instacron_str UNESP
institution UNESP
reponame_str Repositório Institucional da UNESP
collection Repositório Institucional da UNESP
repository.name.fl_str_mv Repositório Institucional da UNESP - Universidade Estadual Paulista (UNESP)
repository.mail.fl_str_mv
_version_ 1808128757552119808

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