Utilizing Robust Data Envelopment Analysis Model for Measuring Efficiency of Stock, A case study: Tehran Stock Exchange

Abstract

Uncertainty is a prominent feature of real world problems and more especially financial<br />markets; with this in mind, dealing with uncertainty becomes a necessary part of performance<br />evaluation by means of data envelopment analysis. This paper presents three robust data<br />envelopment analysis (DEA) models and their application for performance evaluation in<br />Tehran Stock Exchange (TSE). Based on the results, the evaluated performance of stocks and<br />the number of efficient stocks is decreased in all three models by increasing the level of<br />uncertainty.