Evaluating the efficiency score of investment holdings by considering undesirable variable using FDH model: An approach of Data Envelopment Analysis
Subject Areas : Financial engineeringalireza ziaei shirkolaei 1 , mohammad ebrahim mohammad pourzarandi 2 , mehrzad minoee 3
1 - Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2 - Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran and member of Modern Financial Risk Research Group
3 - Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
Keywords: Data envelopment analysis, Network DEA, FDH technology, Undesirable variable,
Abstract :
Data envelopment analysis is a non-parametric method for measuring the performance score of a set of units under evaluation. Recently, the application of data envelopment analysis models in networked or multi-stage structures has been considered by researchers. This paper seeks to reinforce the first steps taken to develop DEA network models based on asynchronous technology. To this end, it provides a way to consider undesirable outputs in an asynchronous technology. The models presented in this paper, while calculating the overall performance score in a network system, are able to calculate the performance of each step separately in the presence of undesirable factors without any additional calculation and provide it to the system administrators. Also, to show the accuracy of the proposed model compared to the basic CCR model, we conclude the computational accuracy of the model due to the identification of a number of less efficient units than the CCR model. According to the results, despite the fact that some units are considered as efficient, but due to inefficiency in some stages are considered inefficient and only the National Industrial Holding is considered as the only efficient unit due to the fact that it is efficient in both stages.
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