Possibilistic Data Envelopment Analysis Approach for Stock Evaluation
Publish place: 2nd International Conference on Challenges and New Solutions in Industrial Engineering and Management and Accounting
Publish Year: 1400
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
CSIEM02_810
تاریخ نمایه سازی: 27 تیر 1400
Abstract:
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.
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Authors
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