Portfolio selection of projects based on a relative efficiency measurement
by Mohamed Dia
International Journal of Financial Engineering and Risk Management (IJFERM), Vol. 1, No. 2, 2013

Abstract: The aim of this paper is to present a methodology for portfolio selection of projects based on a relative efficiency measurement through Data Envelopment Analysis (DEA). This methodology requires that the preferences of the Decision Maker (DM) for the desired portfolio(s) be determined first. Then, the efficiency ratios of the projects are computed, and a portfolio of projects based on these efficiency ratios is generated through a specific mathematical model according to the DM's preferences specified in the first step. The methodology is illustrated experimentally and its results are compared to those obtained by Eilat et al. and Urli and Terrien, which used the same illustrative example. While being easier to apply and to understand for practitioners and decision makers, our proposed methodology is able to reproduce similar results with those of Eilat et al. and Urli and Terrien.

Online publication date: Wed, 10-Sep-2014

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