Stock selection of Tehran stock exchange investors with hybrid of data envelopment analysis (DEA) and goal programming (GP)
Subject Areas : Financial Knowledge of Securities Analysis
محمد غلی
افشارکاظمی
1
(ندارد)
مریم
خلیلی عراقی
2
(ندارد)
احمد سادات
کیایی
3
(مسئول مکاتبات)
Keywords: Tehran Stock Exchange, portfolio, Ranking, data development analysis
, 
, (D, Goal Programming (GP),
Abstract :
One of the most important concerns of investors in financial market is to select astock or portfolio which is optimal in profitability. So a lot of methods related to stockselection have been introduced. The purpose of this study is to make optimal portfolioby hybrid of data development analysis (DEA) and goal programming (GP). Thereforethe data which is related to 6 industries among Tehran Stock Exchange (250 firms)have been collected from October 2009 March 2010. The ratio efficiency of everyindustries' firms has been calculated and the most efficient ones selected, and finally48 efficient firms have been determined. In next phase after collecting data related tothe criteria of investing for efficient firms, in order to determine F the linearprogramming has been used and to ensure the goals attainment with the low priorities,the result has been brought to goal programming model after a little coordination. Infinal phase investor has decided by considering priorities and his goals and using goalprogramming. The result show the complete achievement of (Beta), (Return), (Di)and (liquidity) goals and the incomplete achievement of (risk) goal and (Ci) goal has2.27 units positive derivation and it was made a various portfolio includes 8 stocksamong 250 stocks.