Performance appraisal and ranking decision-making units in Iran stock exchange using non-parametric method

Determining a portfolio of investments is among the most important issues in Investment Management today. In this direction, some models have been proposed to determine the optimal portfolio, that each has been replaced by other models for removing imperfections. Ignoring the indicators and multiple benchmarks to evaluate the performance of the portfolio is among the main problems in the presented models. This research aims to resolve this problem using the DEA. DEA is a nonparametric technique for measuring and evaluating the relative performance of a set of decision making units with multiple inputs and outputs. Using this method, the efficient and inefficient firms have been identified and by ranking the inefficient firms efficient models to reach the limit of efficiency have been presented. Also, the effect rate of each variable on performance of the firms has been determined, that for this purpose the CCR model with nature of input and form envelopment has been used. Efficient firms have been also ranked using the Anderson -Pearson model. Data collection was conducted through library studies and was analyzed using the DEA_SOLVING software. The results indicate that among the 40 firms surveyed, 8 firms are efficient and the remaining firms are inefficient.