Ekonometri ve İstatistik e-dergisi, no.24, pp.109-131, 2016 (Peer-Reviewed Journal)
This paper presents an innovative approach about measuring the efficiency of portfolios with Data Envelopment
Analysis (DEA). Portfolios are accepted as production units which are assigned to provide return to their
investors at the end of the investment period, t=1. Unlike the common sense regarding funds as portfolios and
measuring their performances, in this paper the portfolios which are developed from the rough were handled.
The efficiency of portfolios were measured with Data Envelopment Analysis by using the set of inputs and
outputs which were derived from Markowitz’s Modern Portfolio Theory. Finally, the effects of efficiency
concept on realized returns of portfolios at t=1 were examined so as to demystify if realized returns rise or not.