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

نویسندگان

  • Alireza Jandaghian Department of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran
  • Armin Jabbarzadeh Department of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran
  • Emran Mohammadi Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran Corresponding author
  • Pejman Peykani Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
چکیده مقاله:

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.

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market

ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...

Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange

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, i...

متن کامل

Assessment of the efficiency of banks accepted in Tehran Stock Exchange using the data envelopment analysis technique

The research provides a systematic method for assessing the financial performance of the banks. The analysis is based on a set of benchmarks related to the financial performance of the banks. In this regard, this research has explored a model for evaluating accepted banks in Tehran Stock Exchange using the data envelopment analysis method. The purpose of this research is to apply the research m...

متن کامل

Assessment of the efficiency of banks accepted in Tehran Stock Exchange using the data envelopment analysis technique

The research provides a systematic method for assessing the financial performance of the banks. The analysis is based on a set of benchmarks related to the financial performance of the banks. In this regard, this research has explored a model for evaluating accepted banks in Tehran Stock Exchange using the data envelopment analysis method. The purpose of this research is to apply the research m...

متن کامل

Assessment of the efficiency of banks accepted in Tehran Stock Exchange using the data envelopment analysis technique

The research provides a systematic method for assessing the financial performance of the banks. The analysis is based on a set of benchmarks related to the financial performance of the banks. In this regard, this research has explored a model for evaluating accepted banks in Tehran Stock Exchange using the data envelopment analysis method. The purpose of this research is to apply the research m...

متن کامل

A Robust Two-stage Data Envelopment Analysis Model for Measuring Efficiency: Considering Iranian Electricity Power Production and Distribution Processes

This paper presents a new robust two-stage Data Envelopment Analysis (DEA) for efficiency evaluation of the electricity power production and distribution companies. DEA has been widely used for benchmarking the electricity companies. Traditional studies in DEA consider systems as a whole when measuring the efficiency, ignoring the operation of individual processes within a system. To tackle thi...

متن کامل

منابع من

با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ذخیره در منابع من قبلا به منابع من ذحیره شده

{@ msg_add @}


عنوان ژورنال

دوره 1  شماره 4

صفحات  15- 24

تاریخ انتشار 2016-02-01

با دنبال کردن یک ژورنال هنگامی که شماره جدید این ژورنال منتشر می شود به شما از طریق ایمیل اطلاع داده می شود.

میزبانی شده توسط پلتفرم ابری doprax.com

copyright © 2015-2023