Published in: 14th International Industrial Engineering Conference
COI code: IIEC14_069
Paper Language: English
How to Download This Paper
For Downloading the Fulltext of CIVILICA papers please visit the orginal Persian Section of website.
Authors Robust Data Envelopment Analysis with Hybrid Uncertainty Approaches and its Applications in Stock Performance MeasurementPejman Peykani - Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
Emran Mohammadi - Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran
Abstract:Performance measurement and ranking the stocks is one of the most important problems in financial markets. Data envelopment analysis (DEA) is one of the tools that can be used to reach this goal. This approach is one of the non-parametric performance measurement techniques in order to estimates the relative efficiency of sets of decision making units (DMUs) using inputs and outputs. With respect to one of the most important features of financial markets is their uncertainty, in this paper, the novel robustDEA Models that are capable to use in the presence of discrete and continuous uncertainties are proposed. Finally, the proposed novel robust DEA (NRDE) of the paper is implemented in a real case study of Tehran Stock Exchange (TSE) and illustrative results show that proposed NRDEA model is effective.
Keywords:Data Envelopment Analysis (DEA), Robust Data Envelopment Analysis (RDEA), Robust Optimization, Convex Uncertainty Set,Scenario Based, Stock Performance Measurement, Tehran Stock Exchange (TSE)
COI code: IIEC14_069
how to cite to this paper:If you want to refer to this article in your research, you can easily use the following in the resources and references section:
Peykani, Pejman & Emran Mohammadi, 2017, Robust Data Envelopment Analysis with Hybrid Uncertainty Approaches and its Applications in Stock Performance Measurement, 14th International Industrial Engineering Conference, تهران, انجمن مهندسي صنايع ايران - دانشگاه علم و صنعت ايران, https://www.civilica.com/Paper-IIEC14-IIEC14_069.htmlInside the text, wherever referred to or an achievement of this article is mentioned, after mentioning the article, inside the parental, the following specifications are written.
First Time: (Peykani, Pejman & Emran Mohammadi, 2017)
Second and more: (Peykani & Mohammadi, 2017)
For a complete overview of how to citation please review the following CIVILICA Guide (Citation)
The University/Research Center Information:
Type: state university
Paper No.: 20366
in University Ranking and Scientometrics the Iranian universities and research centers are evaluated based on scientific papers.
Research Info Management
Export Citation info of this paper to research management softwares
New Related Papers
- A complete ranking of DMUs with only undesirable outputs
- E-banking and effective factors in applying its services in Iran
- The reasons for the orientation of organizations to development of blended learning: The study in Iranian banks
- Designing optimal double-sampling plan based on process capability index
- A study into applying of PFMEA in Auto parts Industries
The Above articles are recently indexed in the related subjects
Iran Scientific Advertisment Netword
Share this paper
WHAT IS COI?
COI is a national code dedicated to all Iranian Conference and Journal Papers. the COI of each paper can be verified online.