Using Data Envelopment Analysis to Select Efficient Large Market Cap Securities

Abstract

This research presents a technique known as Data Envelopment Analysis (DEA) to select a group of desirable securities from a list of 185. This selection process is an application of Operations Research, and reflects the utility function of a decision-maker. This utility function considers many attributes associated with large cap stocks such as return, earnings and risk. Of the 185 stocks analyzed, fourteen were found to be most desirable (referred to here as efficient), and an additional four were found to be somewhat desirable. Of these fourteen 'efficient' stocks, several displayed robustness to unfavorable changes, while others did not.

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