Question
Determine the efficient portfolio based on the following output and input variables using DEA. Provide explanation. Stock Output (Y1) Arithmetic Return % Output (Y2) Expected
- Determine the efficient portfolio based on the following output and input variables using DEA. Provide explanation.
| Stock | Output (Y1) Arithmetic Return % | Output (Y2) Expected Return (CAPM) % | Output (Y3) Sharpe Ratio
% | Input (X1) Standard Deviation % | Input (X2) Beta
|
| Daya | 5.0 | 12.0 | 0.25 | 8 | 1.0 |
| Maju | 7.0 | 10.2 | 0.40 | 10 | 0.8 |
| Tegas | 4.0 | 12.9 | 0.20 | 5 | 1.1 |
| Apex | 6.0 | 11.1 | 0.38 | 8 | 0.9 |
| Bravo | 5.0 | 15.6 | 0.22 | 9 | 1.4 |
| Winner | 8.0 | 14.7 | 0.42 | 12 | 1.3 |
| Sustain | 4.0 | 12.1 | 0.15 | 7 | 1.05 |
| Best | 6.0 | 10.5 | 0.33 | 9 | 0.85 |
| Top | 8.0 | 14.5 | 0.45 | 11 | 1.25 |
| Lucky | 5.0 | 9.7 | 0.22 | 9 | 0.70 |
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Cost Accounting A Managerial Emphasis
Authors: Charles T. Horngren, Srikant M.Dater, George Foster, Madhav
14th Edition
978-0132960649, 132960648, 132109174, 978-0132109178
