UTILIZING ROBUST DATA ENVELOPMENT ANALYSIS MODEL FOR MEASURING EFFICIENCY OF STOCK, A CASE STUDY: TEHRAN STOCK EXCHANGE

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PEYKANI PEJMAN; MOHAMMADI EMRAN; JABBARZADEH ARMIN; JANDAGHIAN ALIREZA

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Paper Information

Journal: JOURNAL OF NEW RESEARCHES IN MATHEMATICS Year:2016 | Volume:1 | Issue:4 Page(s): 15-24

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Title

UTILIZING ROBUST DATA ENVELOPMENT ANALYSIS MODEL FOR MEASURING EFFICIENCY OF STOCK, A CASE STUDY: TEHRAN STOCK EXCHANGE

Author(s)

PEYKANI PEJMAN | MOHAMMADI EMRAN | JABBARZADEH ARMIN | JANDAGHIAN ALIREZA | Issue Writer Certificate

Keywords

DATA ENVELOPMENT ANALYSIS

ROBUST OPTIMIZATION

TEHRAN STOCK EXCHANGE

UNCERTAINTY

Abstract

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.

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References

A BOOTSTRAPPED ROBUST DATA ENVELOPMENT ANALYSIS MODEL FOR EFFICIENCY ESTIMATING OF TELECOMMUNICATION COMPANIES IN IRAN

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APA: Copy

PEYKANI, PEJMAN, MOHAMMADI, EMRAN, JABBARZADEH, ARMIN, & JANDAGHIAN, ALIREZA. (2016). UTILIZING ROBUST DATA ENVELOPMENT ANALYSIS MODEL FOR MEASURING EFFICIENCY OF STOCK, A CASE STUDY: TEHRAN STOCK EXCHANGE. JOURNAL OF NEW RESEARCHES IN MATHEMATICS, 1(4), 15-24. SID. https://sid.ir/paper/681653/en

Vancouver: Copy

PEYKANI PEJMAN, MOHAMMADI EMRAN, JABBARZADEH ARMIN, JANDAGHIAN ALIREZA. UTILIZING ROBUST DATA ENVELOPMENT ANALYSIS MODEL FOR MEASURING EFFICIENCY OF STOCK, A CASE STUDY: TEHRAN STOCK EXCHANGE. JOURNAL OF NEW RESEARCHES IN MATHEMATICS[Internet]. 2016;1(4):15-24. Available from: https://sid.ir/paper/681653/en

IEEE: Copy

PEJMAN PEYKANI, EMRAN MOHAMMADI, ARMIN JABBARZADEH, and ALIREZA JANDAGHIAN, “UTILIZING ROBUST DATA ENVELOPMENT ANALYSIS MODEL FOR MEASURING EFFICIENCY OF STOCK, A CASE STUDY: TEHRAN STOCK EXCHANGE,” JOURNAL OF NEW RESEARCHES IN MATHEMATICS, vol. 1, no. 4, pp. 15–24, 2016, [Online]. Available: https://sid.ir/paper/681653/en

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