Categorização de ativos financeiros usando o método não paramétrico DEA
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May 6, 2020
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Hernán Pablo Guevel
http://orcid.org/0000-0003-4434-9178
http://orcid.org/0000-0003-4434-9178
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Resumo
O objetivo deste artigo é propor um enfoque metodológico integrado para a categorização de ativos, utilizando a metodologia do Análise Envolvente de Dados (DEA, versão Modelo Aditivo Básico). A necessidade de que os stakeholders avaliem a possibilidade de quebra, risco creditício e a confecção de carteiras de investimento tem dado lugar a ferramentas capazes de avaliar os ativos financeiros. Perante o crescente volumem de dados associados aos ativos, em ocasiões tem se optado pela categorização em grupos que compartilham características homogéneas. Esta estratégia implica uma redução significativa do tempo e o custo da análise. O sistema selecionado para a análise inclui as empresas que cotizam na Bolsa de Buenos Aires durante o período 2009-2010.
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References
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Amiri, M., Zandieh, M., Soltani, R., & Vahdani, B. (2009). A hybrid multi-criteria decision-making model for firms competence evaluation. Expert Systems with Applications, 36(10), 12314-12322. https://doi.org/10.1016/j.eswa.2009.04.045
Amiri, M., Zandieh, M., Vahdani, B., Soltani, R., & Roshanaei, V. (2010). An integrated eigenvector –DEA– TOPSIS methodology for portfolio risk evaluation in the FOREX spot market. Expert Systems with Applications, 37(1), 509-516. https://doi.org/10.1016/j.eswa.2009.05.041
Banker, R., Charnes, A., & Cooper, W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management science, 30(9), 1078-1092. https://doi.org/10.1287/mnsc.30.9.1078
Caro, N. P. (2013). Evaluación de riesgo de crisis financiera en empresas argentinas en los periodos 1993-2000 y 2003-2010. Tesis de Doctorado en Ciencias Económicas, Universidad Nacional de Córdoba, Córdoba. http://hdl.handle.net/11086/712
Charnes, A., Cooper, W., & Rhodes, E. (1978). Measuring the efficiency of decision making units. European Journal of Operational Research, 2(6), 429-444. https://doi.org/10.1016/0377-2217(78)90138-8
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Graham, B., Dodd, D., & Cottle, S. (1934). Security analysis (pp. 44-45). New York: McGraw-Hill.
Jones, S., & Hensher, D. (2004). Predicting firm financial distress: A mixed logit model. The Accounting Review, 79(4), https://doi.org/10.2308/accr.2004.79.4.1011
Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Mashayekhi, Z., & Omrani, H. (2016). An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem. Applied Soft Computing, 38, 1-9. https://doi.org/10.1016/j.asoc.2015.09.018
Ross S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. http://efinance.org.cn/cn/fm/Capital%20Asset%20Prices%20A%20Theory%20of%20Market%20Equilibrium%20under%20Conditions%20of%20Risk.pdf
Spronk, J., & Hallerbach, W. (1997). Financial modelling: Where to go? With an illustration for portfolio management. European Journal of Operational Research, 99(1), 113-125. https://doi.org/10.1016/S0377-2217(96)00386-4
Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398-409. https://doi.org/10.1016/j.ejor.2010.08.028
Zopounidis, C. (1999). Multicriteria decision aid in financial management. European Journal of Operational Research, 119(2), 404-415. https://doi.org/10.1016/S0377-2217(99)00142-3
Zopounidis, C., & Doumpos, M. (1999). A multicriteria decision aid methodology for sorting decision problems: The case of financial distress. Computational Economics, 14(3), 197-218. https://doi.org/10.1023/A:1008713823812
Zopounidis, C., & Doumpos, M. (2013). Intelligent decision aiding systems based on multiple criteria for financial engineering, v. 38. Springer Science & Business Media. https://doi.org/10.1007/978-1-4615-4663-4
Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589-609. https://doi.org/10.1111/j.1540-6261.1968.tb00843.x
Altman, E. I., & Hotchkiss, E. (1993). Corporate financial distress and bankruptcy. New Jersey: John Wiley & Sons, Inc., Hoboken.
Amiri, M., Zandieh, M., Soltani, R., & Vahdani, B. (2009). A hybrid multi-criteria decision-making model for firms competence evaluation. Expert Systems with Applications, 36(10), 12314-12322. https://doi.org/10.1016/j.eswa.2009.04.045
Amiri, M., Zandieh, M., Vahdani, B., Soltani, R., & Roshanaei, V. (2010). An integrated eigenvector –DEA– TOPSIS methodology for portfolio risk evaluation in the FOREX spot market. Expert Systems with Applications, 37(1), 509-516. https://doi.org/10.1016/j.eswa.2009.05.041
Banker, R., Charnes, A., & Cooper, W. (1984). Some models for estimating technical and scale inefficiencies in data envelopment analysis. Management science, 30(9), 1078-1092. https://doi.org/10.1287/mnsc.30.9.1078
Caro, N. P. (2013). Evaluación de riesgo de crisis financiera en empresas argentinas en los periodos 1993-2000 y 2003-2010. Tesis de Doctorado en Ciencias Económicas, Universidad Nacional de Córdoba, Córdoba. http://hdl.handle.net/11086/712
Charnes, A., Cooper, W., & Rhodes, E. (1978). Measuring the efficiency of decision making units. European Journal of Operational Research, 2(6), 429-444. https://doi.org/10.1016/0377-2217(78)90138-8
Charnes, A., Cooper, W., Golany, B., Seiford, L., & Stutz, J. (1985). Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions. Journal of Econometrics, 30(1-2), 91-107. https://doi.org/10.1016/0304-4076(85)90133-2
Comisión Nacional de Valores (2020). Calificadoras de Riesgos. Recovered January 10, 2020, https://www.argentina.gob.ar/normativa/recurso/67292/res368-11-6-2001cap16/htm.
Cooper, W., Seiford, L., & Tone, K. (2000). Data envelopment analysis. In W. Cooper, L. Seiford, & J. Zhu (eds.), Handbook on Data Envelopment Analysis (pp. 1-40), 1st ed. https://doi.org/10.1007/1-4020-7798-X_1
Doumpos, M., & Zopounidis, C. (2002). Multicriteria decision aid classification methods, v. 73. Springer Science & Business Media. https://doi.org/10.1007/b101986
Dow, C. H. (1884). Dows theory. Wall Street Journal. News paper. Online consultation.
Elliot, R. N. (1938). The wave principle. Alanpuri Trading. Publishers of rare stock market books. https://www.alanpuritrading.com/shop/stock-market-psychology/r-n-elliott-3-volume-set-wave-principle-1938
Escobar, J. (2015). Metodología para la toma de decisiones de inversión en portafolio de acciones utilizando la técnica multicriterio AHP. Contaduría y administración, 60(2), 346-366. https://doi.org/10.1016/S0186-1042(15)30004-8
Graham, B., Dodd, D., & Cottle, S. (1934). Security analysis (pp. 44-45). New York: McGraw-Hill.
Jones, S., & Hensher, D. (2004). Predicting firm financial distress: A mixed logit model. The Accounting Review, 79(4), https://doi.org/10.2308/accr.2004.79.4.1011
Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x
Mashayekhi, Z., & Omrani, H. (2016). An integrated multi-objective Markowitz–DEA cross-efficiency model with fuzzy returns for portfolio selection problem. Applied Soft Computing, 38, 1-9. https://doi.org/10.1016/j.asoc.2015.09.018
Ross S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360. https://doi.org/10.1016/0022-0531(76)90046-6
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442. http://efinance.org.cn/cn/fm/Capital%20Asset%20Prices%20A%20Theory%20of%20Market%20Equilibrium%20under%20Conditions%20of%20Risk.pdf
Spronk, J., & Hallerbach, W. (1997). Financial modelling: Where to go? With an illustration for portfolio management. European Journal of Operational Research, 99(1), 113-125. https://doi.org/10.1016/S0377-2217(96)00386-4
Xidonas, P., Mavrotas, G., Zopounidis, C., & Psarras, J. (2011). IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection. European Journal of Operational Research, 210(2), 398-409. https://doi.org/10.1016/j.ejor.2010.08.028
Zopounidis, C. (1999). Multicriteria decision aid in financial management. European Journal of Operational Research, 119(2), 404-415. https://doi.org/10.1016/S0377-2217(99)00142-3
Zopounidis, C., & Doumpos, M. (1999). A multicriteria decision aid methodology for sorting decision problems: The case of financial distress. Computational Economics, 14(3), 197-218. https://doi.org/10.1023/A:1008713823812
Zopounidis, C., & Doumpos, M. (2013). Intelligent decision aiding systems based on multiple criteria for financial engineering, v. 38. Springer Science & Business Media. https://doi.org/10.1007/978-1-4615-4663-4
Como Citar
Guevel, H. P. (2020). Categorização de ativos financeiros usando o método não paramétrico DEA. Cuadernos De Administración, 33. https://doi.org/10.11144/Javeriana.cao33.cfaup
Seção
especial Inovação na gestão do conhecimento através de metodologias difusas