Measuring the Efficiency of Mean-VaR Portfolio Selection with Real Constraints

A mean-VaR model with the transaction costs, borrowing constraints, threshold constraints and cardinality constraints is proposed. As it is very difficult to solve the proposed model, the practical use of the model is limited. So the mean-VaR portfolio DEA performance evaluation model with real constraints is proposed. By constructing the frontier of the DEA model to approximate the real frontier, the efficiency evaluation of the constructed portfolio performance evaluation model is carried out. Finally, the weekly stock trading data of Shanghai stock market is used for empirical research. The results show that as the sample size increases, the frontier of the DEA is closer to the real frontier.