Optimistic and Pessimistic Fuzzy Data Envelopment Analysis: Empirical Evidence from Tehran Stock Market
Publish place: Fuzzy Optimization and Modeling Journal، Vol: 3، Issue: 2
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_FOMJ-3-2_002
تاریخ نمایه سازی: 20 مرداد 1400
Abstract:
In this paper, the fuzzy chance-constrained data envelopment analysis (FCCDEA) approach is presented for stock evaluation and portfolio selection under data ambiguity. To propose FCCDEA method, data envelopment analysis (DEA), possibilistic programming (PP), and chance-constrained programming (CCP) approaches are applied. It should be noted that FCCDEA models can be used by decision makers (DMs) under optimistic and pessimistic viewpoints. To show the applicability of the proposed fuzzy chance-constrained DEA approach, FCCDEA models based on possibility and necessity measures are implemented in a real-life case study from Tehran stock market. The results show the efficacy of the proposed FCCDEA approach for stock assessment in the presence of fuzzy data.
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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
Nasim Arabjazi
Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran
Fatemeh Shirazi
Department of Industrial Engineering, Amirkabir University of Technology, Tehran, Iran
Neda Kavand
Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran