Introducing a Relational Network DEA Model with Stochastic Intermediate measures for Portfolio Optimization

Subject Areas : International Journal of Data Envelopment Analysis

Hoda Golshani ¹ , Hadi Hadi Bagherzadeh Valami ² , Mahnaz Mirbolouki ³

1 - Department of Applied Mathematics, Yadegar-e-Imam Khomeini (RAH) Shahr-e-rey Branch, Islamic Azad University, Tehran, Iran
2 - Department of Applied Mathematics, Yadegar-e-Imam Khomeini (RAH) Shahr-e-rey Branch, Islamic Azad University, Tehran, Iran
3 - Department of Applied Mathematics, Yadegar-e-Imam Khomeini (RAH) Shahr-e-rey Branch, Islamic Azad University, Tehran, Iran

Received: 2016-02-11 Accepted : 2016-05-29 Published : 2016-09-20

Keywords: Data Envelopment Analysis, Asset allocation, Network structure, Stochastic DEA,

Abstract :

Conflict intermediate measures in DEA models, especially in constraint and open the black box, is the main difference between traditional DEA and network DEA models. Furthermore, from the application's perspective, intermediate measures aren’t deterministic. So, for measuring the efficiency more precisely, they can be considered as imprecise data. The aim of this paper is introducing a stochastic relational model for measuring overall efficiency that deals with intermediate and outputs as stochastic data. The proposed model is applied for portfolio optimization. An actual data set of 27 Iranian stock industries is applied as numerical example. The result shows that SR-NDEA has better discriminant power than R-NDEA model.

References:

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