Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange
محورهای موضوعی : Multi-Criteria Decision Analysis and its Application in Financial ManagementPejman Peykani 1 , Emran Mohammadi 2 , Mohsen Rostamy-Malkhalifeh 3 , Farhad Hosseinzadeh Lotfi 4
1 - Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
2 - School of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
3 - Department of Mathematics, Faculty of Science, Science and Research Branch, Islamic Azad University, Tehran, Iran
4 - Department of Mathematics, Faculty of Science, Science and Research Branch, Islamic Azad University, Tehran, Iran
کلید واژه: Fuzzy DEA, Stocks Ranking, Insurance Companies,
چکیده مقاله :
The main goal of this paper is to propose a new approach for efficiency measurement and ranking of stocks. Data envelopment analysis (DEA) is one of the popular and applicable techniques that can be used to reach this goal. However, there are always concerns about negative data and uncertainty in financial markets. Since the classical DEA models cannot deal with negative and imprecise values, in this paper, possibilistic range directional measure (PRDM) model is proposed to measure the efficiencies of stocks in the presence of negative data and uncertainty with input/output parameters. Using the data from insurance industry, this model is also implemented for a real case study of Tehran stock exchange (TSE) in order to analyse the performance of the proposed method.
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