INTRODUCING A RELATIONAL NETWORK DEA MODEL WITH STOCHASTIC INTERMEDIATE MEASURES FOR PORTFOLIO OPTIMIZATION

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

GOLSHANI HODA; BAGHERZADEH VALAMI HADI; MIRBOLOUKI MAHNAZ

Educational Videos and Scientific Workshops

Scientific Information Database

ISSN: 2588-4824

Journal Paper

Paper Information

Journal: INTERNATIONAL JOURNAL OF DATA ENVELOPMENT ANALYSIS Year:2016 | Volume:4 | Issue:3 (15) Page(s): 1013-1022

Download Full-Text

View:

334

Download:

240

Cites:

Information Journal Paper

Title

INTRODUCING A RELATIONAL NETWORK DEA MODEL WITH STOCHASTIC INTERMEDIATE MEASURES FOR PORTFOLIO OPTIMIZATION

Author(s)

GOLSHANI HODA | BAGHERZADEH VALAMI HADI | MIRBOLOUKI MAHNAZ | Issue Writer Certificate

Keywords

DATA ENVELOPMENT ANALYSIS

ASSET ALLOCATION

NETWORK STRUCTURE

STOCHASTIC DEA

Abstract

Conflict intermediate measures in DEA models, especially in constraint and open the black box, is the main difference between traditional DEA and network DEA models. Furthermore, from the application's perspective, intermediate measures aren’t deterministic. So, for measuring the efficiency more precisely, they can be considered as imprecise data. The aim of this paper is introducing a stochastic relational model for measuring overall efficiency that deals with intermediate and outputs as stochastic data. The proposed model is applied for portfolio optimization. An actual data set of 27 Iranian stock industries is applied as numerical example. The result shows that SR-NDEA has better discriminant power than R-NDEA model.

Cites

No record.

References

No record.

Cite

APA: Copy

GOLSHANI, HODA, BAGHERZADEH VALAMI, HADI, & MIRBOLOUKI, MAHNAZ. (2016). INTRODUCING A RELATIONAL NETWORK DEA MODEL WITH STOCHASTIC INTERMEDIATE MEASURES FOR PORTFOLIO OPTIMIZATION. INTERNATIONAL JOURNAL OF DATA ENVELOPMENT ANALYSIS, 4(3 (15)), 1013-1022. SID. https://sid.ir/paper/705488/en

Vancouver: Copy

GOLSHANI HODA, BAGHERZADEH VALAMI HADI, MIRBOLOUKI MAHNAZ. INTRODUCING A RELATIONAL NETWORK DEA MODEL WITH STOCHASTIC INTERMEDIATE MEASURES FOR PORTFOLIO OPTIMIZATION. INTERNATIONAL JOURNAL OF DATA ENVELOPMENT ANALYSIS[Internet]. 2016;4(3 (15)):1013-1022. Available from: https://sid.ir/paper/705488/en

IEEE: Copy

HODA GOLSHANI, HADI BAGHERZADEH VALAMI, and MAHNAZ MIRBOLOUKI, “INTRODUCING A RELATIONAL NETWORK DEA MODEL WITH STOCHASTIC INTERMEDIATE MEASURES FOR PORTFOLIO OPTIMIZATION,” INTERNATIONAL JOURNAL OF DATA ENVELOPMENT ANALYSIS, vol. 4, no. 3 (15), pp. 1013–1022, 2016, [Online]. Available: https://sid.ir/paper/705488/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops

Download

Move to top

وبگردی