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Application of non-Parametric DEA Method for Portfolio Constructions in Developed and Emerging Stock Markets

Student: Khaniyev Adil

Supervisor: Tatiana Sokolova

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2021

This paper examines the DEA (Data envelopment analysis) method for constructing portfolios in the US, Russia and China stock markets.A preliminary selection of indicators is made that has a significant impact on the return on stocks in each market.The work expands the number of used functions and applications of classical metrics, which helps to develop the existing approach to DEA methods for portfolio constructions in financial markets. The conclusions made in this study point to the prospects of using the DEA method for portfolio constructions.

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