An Integrated Multi-Objective SORM Cross-Efficiency Model: An Application in Portfolio Selection

This paper presents a novel multi-objective framework for portfolio selection model integrated with the cross-efficiency approach of the Semi-oriented radial measure (SORM).This article suggests a two-stage method for choosing a portfolio.Although the SORM model was created as a workaround for the traditional DEA model's inability to handle negative data, in Stage 1, we extended it to peer evaluation as opposed to just the selfevaluation model.In the second stage, we enhance its application as a portfolio selection and optimisation tool by incorporating it into the multi-objective framework.We introduce the maverick index and diversity index as an innovative risk/return measure, that proves to be a valuable gauge of sensitivity to environmental volatility and diversification in the context of portfolio selection.The case study demonstrates the model's ease of application, its capacity to distinguish between stocks, and its effectiveness in portfolio selection.