Comparative Analysis of DEA and FDEA Methods for Performance Evaluation of Investment Firms Listed on the Tehran Stock Exchange

Gholami Dehkordi, Ashkan

doi:10.22075/ijnaa.2025.38951.5539

Comparative Analysis of DEA and FDEA Methods for Performance Evaluation of Investment Firms Listed on the Tehran Stock Exchange

Articles in Press

Document Type : Research Paper

Author

Ashkan Gholami Dehkordi

Financial Engineering and Risk Management, Iranian Electronic Higher Education Institute, Tehran, Iran

10.22075/ijnaa.2025.38951.5539

Abstract

This study develops an advanced framework to evaluate the performance of 28 investment firms listed on the Tehran Stock Exchange over the period 1398--1403 (2019--2024), comparing the efficacy of Data Envelopment Analysis (DEA) and Fuzzy Data Envelopment Analysis (FDEA). The analysis incorporates input variables---initial capital, risk, and price-to-earnings ratio (P/E)---and output variables---return on equity (ROE) and earnings per share (EPS). Employing DEA with variable returns to scale, efficiency scores, input excesses, optimal input levels, and reference sets for inefficient firms were determined. For FDEA, input and output data were transformed into fuzzy sets with high, moderate, and low levels using triangular fuzzy numbers, and efficiency was computed via fuzzy mathematical programming. The results indicate significant differences between DEA and FDEA efficiency scores, with DEA demonstrating higher precision and lower error rates in ranking firms and assessing efficiency. These findings highlight DEA's robustness for financial performance evaluation in emerging markets, while FDEA provides valuable insights under conditions of uncertainty, offering implications for investment decision-making and portfolio optimization.

Keywords

Data Envelopment Analysis

Fuzzy Data Envelopment Analysis

efficiency evaluation

investment firms

Tehran Stock Exchange

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