A Robust Variant of Radial Measure for Performance Assessment of Stock

Data Envelopment Analysis (DEA) is a popular non-parametric method which applied for measuring the relative efficiency of a set of decision making units (DMUs). It should be noted that classic data envelopment analysis models cannot deal with negative and uncertain data. So, in this research, a robust data envelopment analysis (RDEA) model for performance measurement of a decision making units (DMUs) in the presence of negative data and uncertainty is presented. The robust DEA of paper is proposed based on Variant of Radial Measure (VRM). Also, for solving and validating the robust VRM model, this model was implemented for a real case study of Tehran stock exchange (TSE).

Keywords:

Data Envelopment Analysis , Negative Data , Uncertainty , Robust Optimization , VRM , Stock