the present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely data envelopment analysis (dea). huge amounts of money are being invested in financial market. as a result, portfolio performance evaluation has created a great deal of interest among people. we kn...

Fuzzy clustering is well known as a robust and efficient way to reduce computation cost to obtain the better results. In the literature, many robust fuzzy clustering models have been presented such as Fuzzy C-Mean (FCM) and Possibilistic C-Mean (PCM), where these methods are Type-I Fuzzy clustering. Type-II Fuzzy sets, on the other hand, can provide better performance than Type-I Fuzzy sets, es...

In this paper, linear Data Envelopment Analysis models are used to estimate Markowitz efficient frontier. Conventional DEA models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. Therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...