Possibilistic Data Envelopment Analysis Approach for Stock Evaluation
سال انتشار: 1400
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 358
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شناسه ملی سند علمی:
CSIEM02_810
تاریخ نمایه سازی: 27 تیر 1400
چکیده مقاله:
Data envelopment analysis (DEA) is one of the popular, powerful, and applicable approaches that is capable to be used in portfolio selection problem (PSP). One of the most important issue that should be considered in the implementation of DEA in PSP, is the uncertainty of financial data. Thus, in this paper, the fuzzy data envelopment analysis (FDEA) approach is proposed to deal with ambiguity and uncertainty of financial market. Notably, to propose FDEA approach, possibility measure, necessity measure, andchance-constrained programming are used. Also, the proposed FDEA models are employed in Tehran stock market.
کلیدواژه ها:
نویسندگان
Pejman Peykani
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Mohammad Namakshenas
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Fatemeh Shirazi
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Armin Jabbarzadeh
Department of Automated Production Engineering, École de Technologie Supérieure (ETS), Montreal, Canada
Neda Kavand
Department of Mathematics, Faculty of Basic Sciences, Science and Research Branch, Islamic Azad University, Tehran, Iran