Combination of DEA and ANP-QUALIFLEX methods to determine the most Efficient Portfolio

Subject Areas : مدیریت

Mozhgan pishdadian ¹ (M.A. Student, Department of Industrial Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran.)
Alireza Alinezhad ² (Associate Professor, Department of Industrial Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran)

Received: 2020-01-01 Accepted : 2020-01-01 Published : 2019-12-22

Keywords: Data envelopment analysis, Ranking, Multi-Criteria Decision Making, network analysis process, Optimal Stock Portfolio,

Abstract :

The existence of an active and prosperous capital market is always recognized as one of the signs of international development in the countries. The most important issue faced by investors in these markets is the decision to choose the appropriate securities for investment and formation of optimal portfolio. The rating of companies accepted in stock exchange is a complete mirror of their status and is a measure of investment. This will increase the competitiveness, development and market efficiency. In this research, the top 20 companies listed in Tehran Stock Exchange during the third quarter of 2015 are ranked according to financial ratios. In previous studies, optimal portfolio has been determined using data envelopment analysis models and multi-criteria decision making techniques, but the present study combines these two techniques to evaluate and determine the most efficient portfolio. Accordingly, the performance scores of each model are obtained using one of the data envelopment analysis model and then, the weight of each index is obtained using the network analysis process through multi-criteria decision-making techniques.