Document Type

Closed Project

Publication Date

Winter 2018


Ramin Neshati

Course Title

Decision Making in Engineering and Technology Management

Course Number

EMGT 530/630


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


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.


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