THE APPLICATION OF DATA ENVELOPMENT ANALYSIS (DEA) IN DETERMINING A PORTFOLIO OF THE MOST EFFICIENT COMPANIES ACCEPTED AT TEHRAN STOCK EXCHANGE

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KHAJAVI SH.A.; SALIMIFARD A.; RABIEH M.

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Journal: Year:2005 | Volume:22 | Issue:2 (43) Page(s): 75-89

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Title

THE APPLICATION OF DATA ENVELOPMENT ANALYSIS (DEA) IN DETERMINING A PORTFOLIO OF THE MOST EFFICIENT COMPANIES ACCEPTED AT TEHRAN STOCK EXCHANGE

Author(s)

KHAJAVI SH.A. | SALIMIFARD A. | RABIEH M. | Issue Writer Certificate

Keywords

DATA ENVELOPMENT ANALYSIS TECHNIQUEQ4

EFFICIENCYQ4

OPTIMUM PORTFOLIOQ4

MULTI-CRITERIA DECISION-MAKINGQ4

Abstract

The main goal of this article is to use Data Envelopment Analysis (DEA) technique for determining OPTIMUM PORTFOLIO of the most efficient companies accepted at Tehran Stock Exchange. A number of models have been presented to determine portfolios. The major problems of the models presented so far are lack of taking attributes and multiple aspects (dimensions) into account for final evaluation of the stock portfolios. Another shortcoming of these models is lack of identifying the reasons for accepting or rejecting a company in an efficient portfolio. In order to solve these problems, a technique called "DEA", which is one of the MULTI-CRITERIA DECISION-MAKING techniques, is used. By using this technique, it is possible to determine efficient and inefficient companies, rank inefficient companies and determine a reference from among efficient companies in order to reach EFFICIENCY frontier and company's EFFICIENCY. In this research, CCR model with input nature and an envelopment form is used.

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APA: Copy

KHAJAVI, SH.A., SALIMIFARD, A., & RABIEH, M.. (2005). THE APPLICATION OF DATA ENVELOPMENT ANALYSIS (DEA) IN DETERMINING A PORTFOLIO OF THE MOST EFFICIENT COMPANIES ACCEPTED AT TEHRAN STOCK EXCHANGE. JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY, 22(2 (43)), 75-89. SID. https://sid.ir/paper/13353/en

Vancouver: Copy

KHAJAVI SH.A., SALIMIFARD A., RABIEH M.. THE APPLICATION OF DATA ENVELOPMENT ANALYSIS (DEA) IN DETERMINING A PORTFOLIO OF THE MOST EFFICIENT COMPANIES ACCEPTED AT TEHRAN STOCK EXCHANGE. JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY[Internet]. 2005;22(2 (43)):75-89. Available from: https://sid.ir/paper/13353/en

IEEE: Copy

SH.A. KHAJAVI, A. SALIMIFARD, and M. RABIEH, “THE APPLICATION OF DATA ENVELOPMENT ANALYSIS (DEA) IN DETERMINING A PORTFOLIO OF THE MOST EFFICIENT COMPANIES ACCEPTED AT TEHRAN STOCK EXCHANGE,” JOURNAL OF SOCIAL SCIENCES AND HUMANITIES OF SHIRAZ UNIVERSITY, vol. 22, no. 2 (43), pp. 75–89, 2005, [Online]. Available: https://sid.ir/paper/13353/en

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