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:

Stock Assessment ، Fuzzy Data Envelopment Analysis ، Possibility Measure ، Necessity Measure.

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