Utilizing Robust Data Envelopment Analysis Model for Measuring Efficiency of Stock, A case study: Tehran Stock Exchange

Subject Areas : Statistics

Pejman Peykani ¹ , Emran Mohammadi ² , Armin Jabbarzadeh ³ , Alireza Jandaghian ⁴

1 - Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
2 - Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran Corresponding author
3 - Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran Corresponding author
4 - Department of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran

Received: 2015-11-09 Accepted : 2016-02-09 Published : 2016-02-01

Keywords: : تحلیل پوششی داده ها, بهینه سازی استوار, بورس اوراق بهادار تهران, عدم قطعیت,

Abstract :

Uncertainty is a prominent feature of real world problems and more especially financialmarkets; with this in mind, dealing with uncertainty becomes a necessary part of performanceevaluation by means of data envelopment analysis. This paper presents three robust dataenvelopment analysis (DEA) models and their application for performance evaluation inTehran Stock Exchange (TSE). Based on the results, the evaluated performance of stocks andthe number of efficient stocks is decreased in all three models by increasing the level ofuncertainty.

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