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Information Journal Paper

Title

Portfolio ranking: using finance technology set in DEA models (Case Study: Tehran Stock Exchange)

Pages

  47-56

Abstract

 One of the most important concerns of investors in financial markets is choosing a share or stock portfolio that is optimal in terms of profitability. To this end, there are many ways in which the stock portfolio has been chosen. The optimal portfolio selection is a portfolio management goal. In this dissertation, the DEA technique has been used as a new and reliable way to select the stock optimal stock. In this thesis, the risk of different orders, average returns, return variances, higher torque are considered as output variables. It will also be possible to take into account the priorities for increases in risk ignored by DEA in applied studies but discussed in economic theory. Finally, in this research, 278 companies were evaluated in 50 stock portfolios during the 5-year period, which is evaluated by 3 models, one for higher returns, one for lower risk and one for a combination of these two methods has meant greater returns and less risk. Also, baskets number 6 and 8 ranked best in the first, second and third models.

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    APA: Copy

    davtalab, a., & MEHRJOO, R.. (2020). Portfolio ranking: using finance technology set in DEA models (Case Study: Tehran Stock Exchange). JOURNAL OF NEW RESEARCHES IN MATHEMATICS, 5(21 ), 47-56. SID. https://sid.ir/paper/257245/en

    Vancouver: Copy

    davtalab a., MEHRJOO R.. Portfolio ranking: using finance technology set in DEA models (Case Study: Tehran Stock Exchange). JOURNAL OF NEW RESEARCHES IN MATHEMATICS[Internet]. 2020;5(21 ):47-56. Available from: https://sid.ir/paper/257245/en

    IEEE: Copy

    a. davtalab, and R. MEHRJOO, “Portfolio ranking: using finance technology set in DEA models (Case Study: Tehran Stock Exchange),” JOURNAL OF NEW RESEARCHES IN MATHEMATICS, vol. 5, no. 21 , pp. 47–56, 2020, [Online]. Available: https://sid.ir/paper/257245/en

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