中文摘要：

运用DEA交叉效率模型融合有效价值与有效动量指标,结合风险度量方式和投资者风险偏好,构造均值-方差（MV）和均值-半方差（MSV）的价值与动量混合策略DEA交叉效率资产组合优选模型。基于上证A股市场的实证研究表明,DEA交叉效率股票组合期望收益率显著高于上证A股市场股票组合,不同持有期均值-方差和较长持有期均值-半方差DEA交叉效率股票优选组合的期望收益率与风险调整收益率（夏普比率）均高于单一价值股票组合和单一动量（赢者）股票组合。

英文摘要：

Utilizing the methods of DEA cross efficiency to integrate effective value and momentum indicators,and combining with different risk measurement methods and investor risk appetites,the paper constructs mean-variance（ MV）and mean semi-variance（ MSV） value and momentum mixed strategy DEA cross efficiency evaluation asset portfolios.The empirical study based on the Shanghai A-share market shows that the expected return of DEA cross efficiency stock portfolio is significantly higher than that of the Shanghai A-share market stock portfolio,and the expected return and risk-adjusted return（ Sharpe ratio） of different holding periods mean-variance and longer holding periods mean semi-variance DEA cross efficiency stock portfolios are also higher than those of single value and single momentum（ winner） stock portfolio.