Two-Stage Asset Allocation with Data Envelopment Analysis: The Case of Emerging Markets

José Luis Miralles-Quiros (), María Mar Miralles-Quirós () and Jose Manuel Nogueira ()
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José Luis Miralles-Quiros: Department of Financial Economics, University of Extremadura, Badajoz, Spain
Jose Manuel Nogueira: Department of Financial Economics, Polytechnic Institute of Tomar, Portugal
Authors registered in the RePEc Author Service: José Luis Miralles Quirós

Czech Journal of Economics and Finance (Finance a uver), 2020, vol. 70, issue 5, 386-406

Abstract: Emerging countries have experienced significant geopolitical, economic and demographic changes in recent years. These changes have led investors to doubt the merits of investing in them or not. This study examines different rules of portfolio construction using exchange-traded funds from eighteen emerging markets and employs Data Envelopment Analysis to select the efficient ones. We show that portfolios created using this method clearly outperform equally weighted portfolios and also those built using classical portfolio optimization approaches.

Keywords: Data Envelopment Analysis; emerging markets; exchange-traded funds; portfolio optimization; performance (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:70:y:2020:i:5:p:386-406

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