Abstract:

Data envelopment analysis measures the efficiencies of homogeneous decision making units which produce similar outputs with similar inputs, without using production function. It calculates optimal weights for decision making units individually, not only finds their efficiency scores but also the sources of inefficiency. Data envelopmnet analysis method was derived by Charnes, Cooper and Rhodes in 1978 setting out Farrell’s total factor productivity sense which is the ratio of weighted outputs to weighted inputs. In this study DEA is used for measuring the efficiencies of portfolios. Portfolios are said to be production units which are assigned to supply return to their investors. The portfolios which supplies maximum return with minimum risk are said to be efficient ones. The DEA model preferred in this study is, input oriented CCR model. The reason for prefering this model is that, there can be no operation made on returns. Because, returns realize surprisingly and no one can guarantee the level of it. Furthermore, altough we can not operate on output of portfolio (realized return) , we can always interfere on inputs (measurable risk components of portfolio, market risk and non-market risk).

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