Cross Efficiency Evaluation with Negative Data in Selecting the Best of Portfolio Using OWA Operator Weights

The present study is an attempt toward evaluating the performance of portfolios and asset selectionusing cross-efficiency evaluation. Cross-efficiency evaluation is an effective way of ranking decisionmaking units (DMUs) in data envelopment analysis (DEA). Conventional DEA models assume nonnegativevalues for inputs and outputs. However, we know that unlike return and skewness, varianceis the only variable in the model that takes non-negative values. This paper focuses on the evaluationprocess of the efficiencies in the cross-efficiency matrix with negative data and proposes the use ofordered weighted averaging (OWA) operator weights for cross-efficiency evaluation. The problemconsists of choosing an optimal set of assets in order to minimize the risk and maximize return. Thismethod is illustrated by application in Iranian stock companies and extremely weights are obtainedvia OWA operator in cross efficiency for making the best portfolio. The finding could be used forconstructing the best portfolio in stock companies, in various finance organization and public andprivate sector companies.