Author = farzane khosravani

The Application of DEA in Selecting a Portfolio Consisting of the Most Efficient and the Most Inefficient Companies Now Present in Tehran Stock Market

Volume 17, Issue 1, February 2013, Pages 1-19

Adel Azar; Reza Jalali; farzane khosravani

Abstract Abstract Selecting a portfolio has always been a significant issue in Financial Management. The models presented for selecting the best portfolio have some deficiencies and after some time, their deficiencies would be revealed and they will be replaced by some other models. One of the problems with those models is neglecting the multifaceted indices and dimensions for final evaluation of portfolio, and these efficiencies will bring the validity of the evaluation results under question. In order to remove these efficiencies, one can use DEA (Data Envelopment Analysis) technique which is one of the MCDM (Multi-Criteria Decision Making) techniques. In this paper, two models have been presented; one finds the most efficient portfolio and the other one finds the most inefficient. In this paper, 95 companies now present in Tehran Stock Market have been investigated. The results demonstrate that out of those 95 companies, seven companies are efficient and 8 companies are utterly inefficient. Keywords: Data Envelopment Analysis, Multi-Criteria Decision Making (MCDM), Portfolio