1. An uncertain allocation model for data envelopment analysis: A case in the Iranian stock market.
- Author
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Jamshidi, M., Sanei, M., and Mahmoodirad, A.
- Subjects
DATA envelopment analysis ,STOCK exchanges ,DECISION making ,EXPECTED returns ,ENTROPY - Abstract
Data Envelopment Analysis (DEA) can be employed to evaluate the operation of units as one of the most important concerns of managers. DEA is a linear programming technique for calculating relative performance of Decision-Making Units (DMUs) with multiple input and output. However, although all the input and output are considered as certain items in these models, there are uncertain items in the real word and the existing interference between these two concepts will result in uncertain models. Allocation models were studied in an uncertain environment with belief degree-based uncertain input costs and output prices. Belief degree-based uncertainty is useful for cases in which there is no historical information on an uncertain event. Utilizing the uncertain entropy model as a second objective function, the cost and revenue models showed an optimal performance with the maximum dispersion rate in their constituent components. As a solution methodology, the uncertain allocation models were separately converted into crisp models by the Expected Value (EV) and the Expected Value and Chance-Constrained (EVCC) methods. A practical example from the Iranian stock market was also employed to evaluate the performance of the new model. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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