LONG-TERM PORTFOLIO SELECTION BY DEA CROSS-EFFICIENCY EVALUATION WITH ASSURANCE REGION - AN APPLICATION TO PLASTIC INDUSTRY IN VIETNAM STOCK MARKET

• Main Authors: Nguyen Ngoc Duong, 阮玉陽
• Other Authors: Professor Dr. Ming-Hung Shu
• Format: Others
• Language: en_US
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/e535z5

碩士 === 國立高雄應用科技大學 === 製造與管理外國學生碩士專班 === 103 === This thesis proposes a method to use Data Analysis Envelopment (DEA) for choosing a value stock which has a long-term advantage as the way a famous investor, Warrant Buffet often do. This thesis suggests a new assurance region for DEA model which is will prove that suitable for stock evaluation. The method is to use cross-efficiency DEA with new assurance region and exam its score and variance in several years for selecting stock. It is a reasonable way to find a good stock for investment and focus to a durable, strong and good performance stock, not diversifying the portfolio. Author will discuss in which input and output factors need to use in DEA model to have a result that is suitable to the purpose of long-term investment. Author also applies the proposal method to stocks of Vietnam plastic industry which are posted in Ho Chi Minh stock exchange. The thesis has gotten potential results to further research or investment practice.