An Adjustable Fuzzy Chance-Constrained Network DEA Approach with Application to Ranking Investment Firms

This paper presents a novel approach for performance appraisal and ranking of decision-making units (DMUs) with two-stage network structure in the presence of imprecise and vague data. In order to achieve this goal, two-stage data envelopment analysis (DEA) model, adjustable possibilistic programming (APP), and chance-constrained programming (CCP) are applied to propose the new fuzzy network data envelopment analysis (FNDEA) approach. The main advantages of the proposed FNDEA approach can be summarized as follows: linearity of the proposed FNDEA models, unique efficiency decomposing under ambiguity, capability to extending for other network structures. Moreover, FNDEA approach can be applied for ranking of two-stage DMUs under fuzzy environment in three stages: 1) solving the proposed FNDEA model for all optimistic-pessimistic viewpoints and confidence levels, 2) then plotting the results and drawing the surface of all efficiency scores, 3) and finally calculate the volume of the three-dimensional shape in below the efficiency surface. This volume can be as ranking criterion. Remarkably, the presented fuzzy network DEA approach is implemented for performance appraisal and ranking of investment firms (IFs) with two-stage processes including operational and portfolio management process. Illustrative results of the real-life case study show that the proposed approach is effective and practically very useful

Fuzzy Data Envelopment Analysis Approach for Ranking of Stocks with an Application to Tehran Stock Exchange

The main goal of this paper is to propose a new approach for efficiency measurement and ranking of stocks. Data envelopment analysis (DEA) is one of the popular and applicable techniques that can be used to reach this goal. However, there are always concerns about negative data and uncertainty in financial markets. Since the classical DEA models cannot deal with negative and imprecise values, in this paper, possibilistic range directional measure (PRDM) model is proposed to measure the efficiencies of stocks in the presence of negative data and uncertainty with input/output parameters. Using the data from insurance industry, this model is also implemented for a real case study of Tehran stock exchange (TSE) in order to analyse the performance of the proposed method

A Novel Robust Network Data Envelopment Analysis Approach for Performance Assessment of Mutual Funds under Uncertainty

Mutual fund (MF) is one of the applicable and popular tools in investment market. The aim of this paper is to propose an approach for performance evaluation of mutual fund by considering internal structure and financial data uncertainty. To reach this goal, the robust network data envelopment analysis (RNDEA) is presented for extended two-stage structure. In the RNDEA method, leader-follower (non-cooperative game) and robust optimization approaches are applied in order to modeling network data envelopment analysis (NDEA) and dealing with uncertainty, respectively. The proposed RNDEA approach is implemented for performance assessment of 15 mutual funds. Illustrative results show that presented method is applicable and effective for performance evaluation and ranking of MFs in the presence of uncertain data. Also, the results reveal that the discriminatory power of robust NDEA approach is more than the discriminatory power of deterministic NDEA models

Dynamic Performance Assessment of Hospitals by Applying Credibility-Based Fuzzy Window Data Envelopment Analysis

The goal of the current research is to propose the credibility-based fuzzy window data envelopment analysis (CFWDEA) approach as a novel method for the dynamic performance evaluation of hospitals during different periods under data ambiguity and linguistic variables. To reach this goal, a data envelopment analysis (DEA) method, a window analysis technique, a possibilistic programming approach, credibility theory, and chance-constrained programming (CCP) are employed. In addition, the applicability and efficacy of the proposed CFWDEA approach are illustrated utilizing a real data set to evaluate the performance of hospitals in the USA. It should be explained that three inputs including the number of beds, labor-related expenses, patient care supplies, and other expenses as well as three outputs including the number of outpatient department visits, the number of inpatient department admissions, and overall patient satisfaction level, are considered for the dynamic performance appraisal of hospitals. The experimental results show the usefulness of the CFWDEA method for the evaluation and ranking of hospitals in the presence of fuzzy data, linguistic variables, and epistemic uncertainty

Effects of risk shock on economic variables.

Investigating the credit channel and monetary policy risk channel in Iran’s economy is the aim of this article. According to empirical studies, expansionary monetary policy increases the risk of banks, and on the other hand, the risk of banks affects economic activities and price levels. In order to investigate the mechanism of the credit channel and the risk channel (as a new channel), the effect of monetary policy on real variables and price levels in Iran’s economy, the Dynamic Stochastic General Equilibrium (DSGE) model has been used by entering the information of the banking system and considering moral hazard and adverse choices. The obtained results show that there is a credit channel and a monetary policy risk channel for Iran’s economy, and the expansionary monetary policy shock causes output, inflation, private sector consumption, investment, net worth in the economy and lending to increase. Also, when a credit shock occurs, with the increase in banks’ lending power, production, private sector consumption, investment, net worth and total lending increase and the inflation level decreases. Also, by applying the risk shock caused by the increase in inflation and the decrease in consumption and investment, the volume of lending increases and the level of production does not change much.</div

Structure of the bank’s balance sheet at the end of the period.

Structure of the bank’s balance sheet at the end of the period.</p

Sources of household income and expenditure in Period t.

Sources of household income and expenditure in Period t.</p

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank assets and liabilities under different conditions and its purpose is to maximize profits and minimize the risks in banks by optimizing the parameters in the balance sheet. Most of the studies `and proposed models in the ALM field are based on an objective function that maximizes bank profit. It is not easy to apply changes in these models in order to reach the optimal values of the parameters in the balance sheet. In this article, an attempt has been made to propose a linear model using constraints to achieve optimal values of balance sheet parameters using ALM objectives and considering balance sheet, system and regulatory constraints. It has also been tried to design the model according to the most possible mode and with the least changes and to minimize the size of the balance sheet. The analysis of the model presented in this article has been conducted using the parameters of the balance sheet and income statement of one of the famous Iranian banks. The results obtained from the proposed model show that the values of cash and receivables from banks and other credit institutions have decreased by 30% and increased by 200%, respectively, compared to the actual values of these parameters. Also, Total Income, Operating Income and Non-Operating Income have grown by 30% compared to the actual values of these parameters. Also, the values of a number of parameters are estimated to be zero after optimization. According to the results, it is obvious that the performance of bank managers, especially in the management of bank assets, is significantly different from the optimal values of the balance sheet, and the results obtained from the proposed model can help the management of banks as much as possible

Effects of negative technology shock on economic variables.

Effects of negative technology shock on economic variables.</p