Possibilistic Data Envelopment Analysis Approach for Stock Evaluation

Data envelopment analysis (DEA) is one of the popular, powerful, and applicable approaches that is capable to be used in portfolio selection problem (PSP). One of the most important issue that should be considered in the implementation of DEA in PSP, is the uncertainty of financial data. Thus, in this paper, the fuzzy data envelopment analysis (FDEA) approach is proposed to deal with ambiguity and uncertainty of financial market. Notably, to propose FDEA approach, possibility measure, necessity measure, and chance-constrained programming are used. Also, the proposed FDEA models are employed in Tehran stock market