The investment service industry is continuing to interrogate themselves over the years in order to understand which, of the various strategies studied, can yield superior returns in respect to competitors. Researchers suggest that mispricing and readjustment consistently happens in the financial markets, but studies have not explained why it happens. The conclusions that could be drawn are related to two theories that find their fundaments on the Efficient Market Hypothesis or Behavioural Finance Theory. One side relate the mispricing as stocks extra risk, while the other side relates mispricing to the irrational investors’ behaviour. Our objective is to show that a well-designed portfolio with the Data Envelopment Analysis methodology can definitely outperform the market and hence, that active management can “beat” market indexes adjusting for fees and in different market environments.
L'industria degli investimenti continua a interrogarsi nel corso degli anni per capire quali, delle varie strategie studiate, possono produrre rendimenti superiori rispetto ai competitors. Gli studiosi suggeriscono che l'errata valutazione e il riaggiustamento dei prezzi sui mercati avvengono in modo consistente, ma non sono riusciti a spiegare perché ciò accade. Le conclusioni tratte sono relative alle teorie che trovano i loro fondamenti sull'ipotesi del mercato efficiente o sulla teoria della finanza comportamentale. Da un lato l’errata valutazione è relativa all’extra rischio assunto, mentre dall'altro lato riguarda il comportamento irrazionale degli investitori. Il nostro obiettivo è dimostrare che un portafoglio ben progettato con la metodologia Data Envelopment Analysis può sovraperformare il mercato e, quindi, che la gestione attiva può "battere" gli indici di mercato, anche considerando le commissioni, in diversi contesti di mercato.
Efficient stock portfolio selection with the DEA model
PADOVANI, FRANCESCO;CONTI, ANDREA
2016/2017
Abstract
The investment service industry is continuing to interrogate themselves over the years in order to understand which, of the various strategies studied, can yield superior returns in respect to competitors. Researchers suggest that mispricing and readjustment consistently happens in the financial markets, but studies have not explained why it happens. The conclusions that could be drawn are related to two theories that find their fundaments on the Efficient Market Hypothesis or Behavioural Finance Theory. One side relate the mispricing as stocks extra risk, while the other side relates mispricing to the irrational investors’ behaviour. Our objective is to show that a well-designed portfolio with the Data Envelopment Analysis methodology can definitely outperform the market and hence, that active management can “beat” market indexes adjusting for fees and in different market environments.File | Dimensione | Formato | |
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2017_12_Conti_Padovani.pdf
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Descrizione: EFFICIENT STOCK PORTFOLIO SELECTION WITH THE DEA MODEL
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3.67 MB
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3.67 MB | Adobe PDF | Visualizza/Apri |
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https://hdl.handle.net/10589/137220