Document Type : Research Paper

Authors

1 Islamic Azad University, Qazvin Branch, Department of Industrial Engineering

2 Islamic Azad University Karaj Branch, Department of Mathematics

3 Islamic Azad University Qazvin Branch, Department of Industrial Engineering

Abstract

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output common weights, and then the generation of a portfolio is carried out by a mathematical model. Finally the methodology is illustrated numerically on the market of Iran stock exchange.

Keywords

Main Subjects

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