Authors: Mohamed Dia
Addresses: School of Commerce and Administration, Laurentian University, 935 Ramsey Lake Road, Sudbury, ON, P3E 2C6, Canada
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.
Keywords: DEA; data envelopment analysis; portfolio selection; projects; decision making; decision maker preferences; relative efficiency measurement; mathematical modelling.
International Journal of Financial Engineering and Risk Management, 2013 Vol.1 No.2, pp.129 - 139
Published online: 08 Aug 2013 *Full-text access for editors Access for subscribers Purchase this article Comment on this article