The application of data envelopment analysis in determining efficient companies in the stock exchange

Document Type : Original Article

Authors

Department of Industrial Engineering, Science and Research Branch, Islamic Azad University, Tehran, Iran.

Abstract
In this article, the most efficient companies admitted to the Tehran Stock Exchange are determined by using the data coverage analysis method. This method is examined for companies in three industries: banking, petrochemical, and pharmaceutical, so that the efficient companies in each industry are recognized. Efficient and ineffective companies are identified and ineffective companies are ranked and used to select the optimal stock portfolio among efficient companies. Next, using the ideal planning method, the investment percentage of each company's share in the stock portfolio is calculated. In this method, once only the yield and risk of the share are considered as variables of the model, and another liquidity variable is added to them so that the effect of this variable is also investigated. Finally, the models were evaluated with real data extracted from the financial statements of the relevant companies and the database of the Tehran Stock Exchange, and the results of the research were analyzed.

Keywords


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