Mendeley
TY  _  JOUR
ID  -  139507121425433532
TI  -  Comparison of Traditional DEA Approaches to Portfolio Selection by a New Proposed Algorithm with a Case Study of Stock Selection in Tehran Stock Exchange
JO  -  Modiriat-e- farda
JA  -  ES
LA  -  fa
SN  -  2228-6047
AU  -  Mohammadi Emran
AD  -  دانشگاه علم و صنعت
Y1  -  2016
PY  -  2016
VL  -  46
IS  -  
SP  -  1
EP  -  10
KW  -  Portfolio Selection
KW  -   Data Envelopment Analysis
KW  -   Investment Management
KW  -   Tehran Stock Exchange.
DO  -  
N2  -  Abstract
Portfolio selection is one of the most important areas in financial decision-making;  A portfolio of stocks that could bring the highest rate of return and the lowest risk investment for its owner simultaneously. However in choosing the most prefered portfolio just these factors are not decisive and according to the economic environment, many factors can affect this process which should be employed. Therefore, these diversity of factors, bring to the limelight the importance of  multi-criteria decision-making approaches. Data Envelopment Analysis (DEA) is one of this approaches.
The main purpose of this paper is comparing the traditional DEA approaches to a new proposed algorithm. In traditional approaches simply assumed that return to scale is constant or variable. This simplification may cause large errors. In the new algorithm by analyzing the behavior of return to scale, appropriate model will be used. 
As a case study, the models have been solved with real data belonging to Tehran stock exchange and the results have been analyzed. 

UR  - rimag.ir/en/Article/24565
L1  - rimag.ir/en/Article/Download/24565
ER  -  
