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

Pejman Peykani, Emran Mohammadi, Ali Emrouznejad*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

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.
Original languageEnglish
Article number113938
JournalExpert Systems with Applications
Volume166
Early online date12 Sep 2020
DOIs
Publication statusPublished - 15 Mar 2021

Bibliographical note

© 2020, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • Adjustable possibilistic programming
  • Fuzzy chance-constrained programming
  • Investment firms
  • Network data envelopment analysis
  • Two-stage structure

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