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Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange

Publish place: Advances in Mathematical Finance and Applications، Vol: 4، Issue: 1
Publish Year: 1398
Type: Journal paper
Language: English
View: 392

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Link to this Paper:
https://civilica.com/doc/1278743

Document National Code:

JR_AMFA-4-1_003

Index date: 29 September 2021

Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange abstract

The main goal of this paper is to propose a new approach for efficiency measurement and ranking of stocks. Data envelopment analysis (DEA) is one of the popular and applicable techniques that can be used to reach this goal. However, there are always concerns about negative data and uncertainty in financial markets. Since the classical DEA models cannot deal with negative and imprecise values, in this paper, possibilistic range directional measure (PRDM) model is proposed to measure the efficiencies of stocks in the presence of negative data and uncertainty with input/output parameters. Using the data from insurance industry, this model is also implemented for a real case study of Tehran stock exchange (TSE) in order to analyse the performance of the proposed method.

Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange Keywords:

Stocks Ranking , Fuzzy DEA , Insurance Companies

Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange authors

Pejman Peykani

Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran

Emran Mohammadi

School of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran

Mohsen Rostamy-Malkhalifeh

Department of Mathematics, Faculty of Science, Science and Research Branch, Islamic Azad University, Tehran, Iran

Farhad Hosseinzadeh Lotfi

Department of Mathematics, Faculty of Science, Science and Research Branch, Islamic Azad University, Tehran, Iran

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