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《Chinese Journal of Management Science》 2015-01
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Technical Efficiency Evaluation Approach for Portfolios with Transaction Costs

ZHOU Zhong-bao;DING Hui;MA Chao-qun;WANG Mei;LIU Wen-bin;School of Business Administration,Hunan University;Business School,University of Kent;  
Portfolio performance is an academic hotspot for researchers.Within the classical framework of economics,the definition of portfolio efficiency is provided based on the efficient frontier.However,in practical situations,the portfolio optimization models are usually very complicated,and thus the analytical solutions of frontier are very difficult to obtain.Under the assumption that the real efficient frontier is a concave function,DEA model is adopted to approximate the real frontier and portfolio efficiencies.The problem of evaluating the portfolio efficiency on considering transaction costs is examined.In the end,some examples are presented to show the practicality and feasibility of the proposed approach.
【Fund】: 国家自然科学基金资助项目(71371067 71431008)
【CateGory Index】: F830.91;F224
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