Construction of Equity Portfolio on the Basis of Data Envelopment Analysis Approach

摘要

The research focus of the scientific paper is on theproblem of equity portfolio construction. The authorrecommends applying frontier analysis technique such as DataEnvelopment Analysis to the performance measurement ofemitters. Using modern computer technologies, the author hascalculated efficiency score of twenty Baltic companies which arequoted at NASDAQ OMX Riga and NASDAQ OMX Tallinnstock exchanges on the basis of DEA CCR approach andelaborated proposals for effective asset allocation.