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http://dx.doi.org/10.5762/KAIS.2013.14.2.899

An Investment Strategy for Construction Companies using DEA-Markowitz's Model  

Ryu, Jaepil (Dept. of Management Engineering, Sangmyung University)
Shin, Hyun Joon (Dept. of Management Engineering, Sangmyung University)
Publication Information
Journal of the Korea Academia-Industrial cooperation Society / v.14, no.2, 2013 , pp. 899-904 More about this Journal
Abstract
This paper proposes an efficient portfolio selection methodology for the listed construction corporations in KOSPI and KOSDAQ. For the construction industrial sector classified by KRX(Korea Exchange), the proposed method carries out an efficiency analysis using DEA (Data envelopment analysis) approach and for the efficient corporations filtered by DEA, construct portfolio using Markowitz's Model. In order to show the effectiveness of the proposed method, we constructed annually portfolios for 5 years (2007-2011) out of 53 listed corporations in KOSPI and KOSDAQ, and proved that our portfolios are superior to benchmark portfolios in terms of rate of returns.
Keywords
Construction companies; DEA; KOSPI; Portfolio selection; Markowitz's portfolio model;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
연도 인용수 순위
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