List of Articles تحلیل پوشش داده‌ها

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  1 - Portfolio ranking: using finance technology set in DEA models (Case Study: Tehran Stock Exchange)
  A. Davtalab R. Mehrjoo
  One of the most important concerns of investors in financial markets is choosing a share or stock portfolio that is optimal in terms of profitability. To this end, there are many ways in which the stock portfolio has been chosen. The optimal portfolio selection is a por More

  One of the most important concerns of investors in financial markets is choosing a share or stock portfolio that is optimal in terms of profitability. To this end, there are many ways in which the stock portfolio has been chosen. The optimal portfolio selection is a portfolio management goal. In this dissertation, the DEA technique has been used as a new and reliable way to select the stock optimal stock. In this thesis, the risk of different orders, average returns, return variances, higher torque are considered as output variables. It will also be possible to take into account the priorities for increases in risk ignored by DEA in applied studies but discussed in economic theory. Finally, in this research, 278 companies were evaluated in 50 stock portfolios during the 5-year period, which is evaluated by 3 models, one for higher returns, one for lower risk and one for a combination of these two methods has meant greater returns and less risk. Also, baskets number 6 and 8 ranked best in the first, second and third models. . Manuscript profile
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  2 - Efficiency Evaluation and Rating of registerd brokerage firms of Tehran Stock Exchange Using data envelopment analysis (DEA)
  Heidar Foroughnejad Ghader Masoomi Khanegha Manochehr Mirzaei
  The main purpose of this study is to evaluate the efficiency and rating of registerd brokerage firms of Tehran Stock Exchange using data envelopment analysis. To do this, the rating data of 87 active brokers in Tehran Stock Exchange that have done for 1390(2012) year b More

  The main purpose of this study is to evaluate the efficiency and rating of registerd brokerage firms of Tehran Stock Exchange using data envelopment analysis. To do this, the rating data of 87 active brokers in Tehran Stock Exchange that have done for 1390(2012) year by securities and exchange organization, was used and broker’s efficiency was measured by using DEA-Master software. Also, efficient brokers were rated based on Anderson-Peterson method in two states of input oriented and output oriented. Results showed that, among the 87 brokers, only 44 brokers were efficient. Results also showed, brokers that have top rated by securities and exchange organization, based on data envelopment analysis techniques are not necessarily efficient. In other words, some of low rated brokers by securities and exchange organization were more efficient than top rated brokers by securities and exchange organization. Manuscript profile