Title of article :
Introducing a Relational Network DEA Model with Stochastic Intermediate measures for Portfolio Optimization
Author/Authors :
Golshani ، Hoda Department of Applied Mathematics - Islamic Azad University, Shahr-e-rey Branch , Hadi Bagherzadeh Valami ، Hadi Department of Applied Mathematics - Islamic Azad University, Shahr-e-rey Branch , Mirbolouki ، Mahnaz Department of Applied Mathematics - Islamic Azad University, Shahr-e-rey Branch
Abstract :
Conflict intermediate measures in DEA models, especially in constraint and open the black box, is the main difference between traditional DEA and network DEA models. Furthermore, from the application’s perspective, intermediate measures aren’t deterministic. So, for measuring the efficiency more precisely, they can be considered as imprecise data. The aim of this paper is introducing a stochastic relational model for measuring overall efficiency that deals with intermediate and outputs as stochastic data. The proposed model is applied for portfolio optimization. An actual data set of 27 Iranian stock industries is applied as numerical example. The result shows that SR-NDEA has better discriminant power than R-NDEA model.
Keywords :
Data Envelopment Analysis , Asset allocation , Network structure , Stochastic DEA
Journal title :
international journal of data envelopment analysis
