Hadi Bagherzadeh Valami; Zeinab Sinaei nasab
Abstract
In the process of evaluating the Decision Making Units, two factors of efficiency and production size can be used. When the production size of a unit is not optimal, its Returns To Scale (RTS) determines that changing the resources in anotherdirection would enhance its productivity. In most previous ...
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In the process of evaluating the Decision Making Units, two factors of efficiency and production size can be used. When the production size of a unit is not optimal, its Returns To Scale (RTS) determines that changing the resources in anotherdirection would enhance its productivity. In most previous research, RTS is considered to be increasing or decreasing, and frontier analysis is used to determine it. The concept of RTS in Network Data Envelopment Analysis (DEA) is so interesting. In this paper a method based on Most Productive Scale Size (MPSS) in several steps is developed, in addition to determining that RTS of units for each unit in directional manner, the shortest changes in resources for achieving the right size for network production is also obtained. In this approach, the computational complexity, and the ambiguity in units RTS is not present.
Hadi Bagherzadeh Valami
Abstract
In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking ...
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In this paper, considering risks of a portfolio such as mean return, variance of returns, and moments of higher order as output variables including desirable and undesirable outputs, we introduce a non-radial and slack based score to measure efficiency of portfolios. Using the present measure, ranking of portfolios is provided which is consistent with standard risk-return ratios in finance. We provide illustrations to show the effects of this contribution on the measures of technical efficiency and ranking of portfolios on a sample set of daily prices of banks and credit institutions listed on the first stock market of Tehran Securities Exchange (TSE). The advantage of this paper is to present a model based on stock market returns and risk, which is based on the DEA view of the production possibility set. Of course, in making it, the quadratic property of variance and the origin of coordinates have been used as a moderating point.