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

Advances in Mathematical Finance and Applications

Emran Mohammadi¹  Pejman Peykani²  Mohsen Rostamy-Malkhalifeh³  Farhad Hosseinzadeh Lotfi⁴ 

[1] Technology, Tehran, Iran;;Faculty of Industrial Engineering, Iran University of Science &;School of Industrial Engineering, Iran University of Science &

关键词: Stocks Ranking;    Fuzzy DEA;    Insurance Companies;   

DOI  :  10.22034/amfa.2019.581412.1155

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown