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- Title
Optimization of short-term stock selection based on volume and price using a non-cooperative parallel DEA model.
- Authors
Shi, Xiao; Luo, Qin; Zhang, Yan; Zhao, Yisheng; Wang, Yanan; Shi, Tianshu
- Abstract
This paper presents a novel approach to portfolio optimization in the field of finance, with a specific focus on short-term yield. Existing literature has mainly utilized fundamental data to predict long-term trends in stock prices, but our proposed methodology utilizes technical indicators based on the theory of chasing up. Furthermore, we address the non-cooperative nature of volume and price fluctuation indicators and introduce non-cooperative theory into the short-term volume and price stock selection scheme for the first time. We propose an optimization of short-term stock selection based on volume and price using a non-cooperative parallel Data Envelopment Analysis (DEA) model, which we apply to Chinese main board listed companies. Our empirical results demonstrate the effectiveness of our model in selecting high-yield stocks in the short term. This paper contributes to the ongoing discussion on portfolio optimization and presents a compelling solution for investors seeking to maximize their financial gains. The proposed methodology can be utilized in practical applications and has significant implications for the financial industry.
- Subjects
PRICES; DATA envelopment analysis; PORTFOLIO management (Investments); INVESTORS; PRICE fluctuations
- Publication
RAIRO: Operations Research (2804-7303), 2024, Vol 58, Issue 2, p1315
- ISSN
2804-7303
- Publication type
Article
- DOI
10.1051/ro/2024036