this paper investigates a procedure for identifying all efficient hyperplanes of production possibility set (pps). this procedure is based on a method which recommended by pekka j. korhonen[8]. he offered using of lexicographic parametric programming method for recognizing all efficient units in data envelopment analysis (dea). in this paper we can find efficient hyperplanes, via using the para...

   This paper aims at providing a new model based on Data Envelopment Analysis (DEA) to prioritize project risks. It is clear that the large amounts of involved capitals, the long term of infrastructure projects’ implementation, and the project management problems in on-time completion of projects indicate the necessity of paying particular attention to this issue and conducting applied researc...

The purpose of this study is to develop portfolio optimization and assets allocation using our proposed models. The study is based on a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Conventional DEA models assume non-negative data for inputs and outputs. However, many of these data take the negative value, therefore we propose the MeanSharp-βRisk (MShβR) model...

data envelopment analysis (dea) has been long employed as a popular methodology to evaluate the performance of various production activities with multiple inputs and outputs. however, an important issue is that the production process in the real world inevitably generates undesirable outputs (like wastes and pollutants) along with desirable outputs. therefore, the undesirable outputs should be ...

the aim of this research was to measure the relative efficiency of forest management plans in north of iran. in order to fulfill the research, data of 12 forest management plans were collected from the financial balance sheets of shafaroud forest company during a ten years period. first of all, basic data envelopment analysis (dea) models (bcc and ccr) were used to determine the efficiency. the...

performance evaluation of universities is an important issue between researchers. classic data envelopment analysis (dea) models with deterministic data have been used by many authors to measure efficiency of universities in different countries. however, dea with stochastic data are, rarely used to measure efficiency of universities. in this paper, input oriented model in stochastic data envelo...

In this paper we model Value-at-Risk (VaR) for daily stock index returns using a collection of parametric models of the ARCH family based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed density models when the left and right tails of the distribution of returns must be modelled. Thus, Va...

The study of various countries rail transportation indicators is an appropriate criterion for evaluating the existing performance of Iranian railways. The experiences of other countries can be used to improve the efficiency of Iran’s rail transportation. At the beginning of the study, in order to compare the Iranian railway performance with railways of other countries, various efficiency indica...