THE APPLICATION OF DATA ENVELOPMENT ANALYSIS AND ROBUST OPTIMIZATION IN PORTFOLIO SELECTION PROBLEMS

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PEYKANI P.; ROGHANIAN E.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Journal of Operational Research in its Applications Year:2015 | Volume:12 | Issue:1 (44) Page(s): 61-78

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Information Journal Paper

Title

THE APPLICATION OF DATA ENVELOPMENT ANALYSIS AND ROBUST OPTIMIZATION IN PORTFOLIO SELECTION PROBLEMS

Author(s)

PEYKANI P. | ROGHANIAN E. | Issue Writer Certificate

Keywords

PORTFOLIOQ2

DATA ENVELOPMENT ANALYSISQ3

ROBUST OPTIMIZATIONQ1

UNCERTAINTYQ1

Abstract

PORTFOLIO selection and its management are one of main areas in financial decision making. For this purpose, several models have been developed in a manner trying to improve and eliminate existing deficiencies in the existing model. As a result, the old one has been replaced by new one. Among the most important problems, the lack of considering indicators and multiple criteria in evaluating PORTFOLIO performance and also not regarding UNCERTAINTY can be mentioned. In this paper, to resolve the noted problems in PORTFOLIO selection and also to create more realistic models, the PORTFOLIO is selected according to combination of DEA and ROBUST OPTIMIZATION. Finally, the developed model and the stated method in this paper are evaluated by real data, and the results are analyzed.

Cites

PRESENTING OF TIME DRIVEN DATA ENVELOPMENT ANALYSIS MODEL IN FINANCIAL STATEMENTS ANALYSIS OF LISTED FIRMS IN TEHRAN STOCK EXCHANGE

References

PORTFOLIO SELECTION USING DATA ENVELOPMENT ANALYSIS WITH COMMON WEIGHTS

Cite

APA: Copy

PEYKANI, P., & ROGHANIAN, E.. (2015). THE APPLICATION OF DATA ENVELOPMENT ANALYSIS AND ROBUST OPTIMIZATION IN PORTFOLIO SELECTION PROBLEMS. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), 12(1 (44)), 61-78. SID. https://sid.ir/paper/164410/en

Vancouver: Copy

PEYKANI P., ROGHANIAN E.. THE APPLICATION OF DATA ENVELOPMENT ANALYSIS AND ROBUST OPTIMIZATION IN PORTFOLIO SELECTION PROBLEMS. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS)[Internet]. 2015;12(1 (44)):61-78. Available from: https://sid.ir/paper/164410/en

IEEE: Copy

P. PEYKANI, and E. ROGHANIAN, “THE APPLICATION OF DATA ENVELOPMENT ANALYSIS AND ROBUST OPTIMIZATION IN PORTFOLIO SELECTION PROBLEMS,” JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), vol. 12, no. 1 (44), pp. 61–78, 2015, [Online]. Available: https://sid.ir/paper/164410/en

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