Performance Assessment of Investment Firms under Uncertainty

Subject Areas : Financial Knowledge of Securities Analysis

Pejman Peykani ¹ (Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran)
Farhad Hosseinzadeh Lotfi ² (Department of Mathematics, Faculty of Basic Sciences, Science and Research Branch, Islamic Azad University, Tehran, Iran)
Emran Mohammadi ³ (Faculty of Industrial Engineering, Iran University of Science & Technology, Tehran, Iran)
Reza Tehrani ⁴ (دانشگاه تهران)

Received: 2021-05-04 Accepted : 2021-05-04 Published : 2021-02-19

Keywords: Investment Companies, Performance Measurement, Two-Stage Structure, Interval data, Network Data Envelopment Analy,

Abstract :

Mutual funds and investment companies are very important institutions for investing in capital markets. Hence, measuring their performance with the aim of identifying efficient investment firms and providing a corrective remedy for inefficient firms is essential. The purpose of the present study is to propose a new approach to assessing the performance and classification of investment firms in terms of uncertainty. Considering the two-stage structure of investment firms, in this research, the approach of network data envelopment analysis (NDEA) is used to evaluate the performance of each stage and the entire investment company. Also, in order to take into account, the uncertainty of the data, the interval network data envelopment analysis (INDEA) model for a two-stage structure is presented. Using the data of 10 active investment companies in Tehran Stock Exchange, the proposed research approach has been implemented and all companies have been evaluated and classified. The results of INDEA model based on non-cooperative approach indicating on the efficacy and effectiveness of the proposed approach of research for performance measurement of investment firms under uncertain data.

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