Portfolio optimization by synthesis of cross efficiency and Game theory

Portfolio optimization problem is one of the most important investment problems. Most of the mathematical models, presented for solving this problem are based on historical returns of stocks. Utilizing cross efficiencies, calculated by data envelopment analysis models, instead of historical returns, has attracted considerations just recently. In this paper table of cross efficiencies that is a collection of indicators about future possible state of each corporation, is considered as a return matrix of a zero- sum game between the investor and the market. It is assumed in this double game that the Investors can choose the corporation to invest and market can turn the conditions in favor of each of the corporations. Assuming a zero-sum reflects a confrontation between investors and the market which is right for spirit of caution against market. Optimal portfolio determines by the optimum possibilities that is achieved through solving the game in favor of the investor. Results show that the Performance of proposed method is acceptable in compare with market portfolio.