Optimistic and Pessimistic Fuzzy Data Envelopment Analysis: Empirical Evidence from Tehran Stock Market

Subject Areas : Fuzzy Optimization and Modeling Journal

Pejman Peykani ¹ , Mohammad Namakshenas ² , Nasim Arabjazi ³ , Fatemeh Shirazi ⁴ , Neda Kavand ⁵

1 - School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
2 - School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
3 - Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran
4 - Department of Industrial Engineering, Amirkabir University of Technology, Tehran, Iran
5 - Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran

Received: 2021-05-23 Accepted : 2021-07-03 Published : 2021-04-01

Keywords: Possibility theory, Fuzzy DEA, Stock market, Data Ambiguity,

Abstract :

In this paper, the fuzzy chance-constrained data envelopment analysis (FCCDEA) approach is presented for stock evaluation and portfolio selection under data ambiguity. To propose FCCDEA method, data envelopment analysis (DEA), possibilistic programming (PP), and chance-constrained programming (CCP) approaches are applied. It should be noted that FCCDEA models can be used by decision makers (DMs) under optimistic and pessimistic viewpoints. To show the applicability of the proposed fuzzy chance-constrained DEA approach, FCCDEA models based on possibility and necessity measures are implemented in a real-life case study from Tehran stock market. The results show the efficacy of the proposed FCCDEA approach for stock assessment in the presence of fuzzy data.