Document Type

Closed Project

Publication Date

Winter 2018

Instructor

Ramin Neshati

Course Title

Decision Making in Engineering and Technology Management

Course Number

EMGT 530/630

Subjects

Data envelopment analysis, Investment analysis, Stocks -- Mathematical models, Decision making, Portfolio management

Abstract

Fundamental analysis and evaluation is one of the widely used approaches among investors, analysts, and researchers in analyzing corporate financial fundamentals where financial statements are assessed to have an expectation of financial strength of the company and future stock price performance. In this research by considering investment decision making, I represent a multi-period investment strategy using a technique in operation research called “Data Envelopment Analysis” (thereafter DEA) to determine the efficiency of companies in the U.S. technology sector based on their financial strength. By assessment of the performance of these companies using DEA and putting them into an equity portfolio, performance of this strategy with the technology sector benchmark is compared. The findings demonstrate that although DEA technique has achieved higher cumulative return but its risk-adjusted return demonstrated weaker performance than benchmark index.

Rights

In Copyright. URI: http://rightsstatements.org/vocab/InC/1.0/ This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).

Comments

This project is only available to students, staff, and faculty of Portland State University

Persistent Identifier

http://archives.pdx.edu/ds/psu/24603

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