Stock Evaluation under Mixed Uncertainties Using Robust DEA Model | ||
| Journal of Quality Engineering and Production Optimization | ||
| مقاله 6، دوره 4، شماره 1، شهریور 2019، صفحه 73-84 اصل مقاله (731.65 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22070/jqepo.2019.3652.1080 | ||
| نویسندگان | ||
| Pejman Peykani1؛ Emran Mohammadi* 2؛ Fatemeh Sadat Seyed Esmaeili3 | ||
| 1Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran | ||
| 2Iran university of science and technology | ||
| 3Faculty of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran | ||
| چکیده | ||
| Data Envelopment Analysis (DEA) is one of the popular and applicable techniques for assessing and ranking the stocks or other financial assets. It should be noted that in the financial markets, most of the times, the inputs and outputs of DEA models are accompanied by uncertainty. Accordingly, in this paper, a novel Robust Data Envelopment Analysis (RDEA) model, which is capable to be used in the presence of discrete and continuous uncertainties, is presented. The proposed novel RDEA model in the paper was implemented in a real case study of Tehran Stock Exchange (TSE). The results showed that the proposed new RDEA model was effective in the assessment and ranking of the stocks under different scenarios with interval values. | ||
| کلیدواژهها | ||
| Robust data envelopment analysis؛ Stock performance measurement؛ Convex uncertainty set؛ Scenario based robust optimization | ||
| مراجع | ||
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