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Utilizing Robust Data Envelopment Analysis Model for Measuring Efficiency of Stock, A case study: Tehran Stock Exchange | ||
Journal of New Researches in Mathematics | ||
مقاله 2، دوره 1، شماره 4، اردیبهشت 2016، صفحه 15-24 اصل مقاله (2.2 M) | ||
نوع مقاله: research paper | ||
نویسندگان | ||
Pejman Peykani 1؛ Emran Mohammadi 2؛ Armin Jabbarzadeh2؛ Alireza Jandaghian3 | ||
1Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran | ||
2Department of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran Corresponding author | ||
3Department of Industrial Engineering, K. N. Toosi University of Technology, Tehran, Iran | ||
چکیده | ||
Uncertainty is a prominent feature of real world problems and more especially financial markets; with this in mind, dealing with uncertainty becomes a necessary part of performance evaluation by means of data envelopment analysis. This paper presents three robust data envelopment analysis (DEA) models and their application for performance evaluation in Tehran Stock Exchange (TSE). Based on the results, the evaluated performance of stocks and the number of efficient stocks is decreased in all three models by increasing the level of uncertainty. | ||
کلیدواژهها | ||
Data Envelopment Analysis؛ robust optimization؛ Tehran Stock Exchange؛ Uncertainty | ||
مراجع | ||
Farrell, M. J. (1957). The Measurment of Productive Efficiency. Journal of the Royal Statistical Society. Series A (General), 120(3): 253-290. Charnes, A., Cooper W.W., Rhodes E. (1978). Measuring the efficiency of decision making units. European Journal of Operational Research, 2(4): 429-444. Banker, R. D. Charnes, A. Cooper, W. W. (1984). Some Models for Estimation Technical and Scale in Efficiencies in Data Envelopment Analysis. Management Science, 30: 1078-1092. Charnes, A., Cooper, W. W., Golany, B., Seiford, L., & Stutz, J. (1985). Foundations of data envelopment analysis for Pareto-Koopmans efficient empirical production functions. Journal of econometrics, 30(1), 91-107. Soyster, A. L. (1973). Convex programming with set-inclusive constraints and applications to inexact linear programming. Operations research, 21(5): 1154-1157. Ben-Tal, A., & Nemirovski, A. (2000). Robust solutions of linear programming problems contaminated with uncertain data. Mathematical programming, 88(3): 411-424. | ||
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