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RISK MANAGEMENT OF EQUITY PORTFOLIO CONSTRUCTION ON THE BASIS OF DATA ENVELOPMENT ANALYSIS APPROACH

The research focus of the scientific paper is on the problem of equity portfolio construction. The author recommends applying frontier analysis technique such as Data Envelopment Analysis to the performance measurement of emitters. Using modern computer technologies, the author has calculated efficiency score of twenty Baltic companies which are quoted at NASDAQ OMX Riga and NASDAQ OMX Tallinn stock exchanges on the basis of DEA CCR approach and elaborated proposals for effective asset allocation.