Stock selection of Tehran stock exchange investors with hybrid of data envelopment analysis (DEA) and goal programming (GP)

One of the most important concerns of investors in financial market is to select a stock or portfolio which is optimal in profitability. So a lot of methods related to stock selection have been introduced. The purpose of this study is to make optimal portfolio by hybrid of data development analysis (DEA) and goal programming (GP). Therefore the data which is related to 6 industries among Tehran Stock Exchange (250 firms) have been collected from October 2009 March 2010. The ratio efficiency of every industrie's firms has been calculated and the most efficient ones selected, and finally 48 efficient firms have been determined. In next phase after collecting data related to the criteria of investing for efficient firms, in order to determine F the linear programming has been used and to ensure the goals attainment with the low priorities, the result has been brought to goal programming model after a little coordination. In final phase investor has decided by considering priorities and his goals and using goal programming. The result show the complete achievement of (Beta), (Return), (Di) and (liquidity) goals and the incomplete achievement of (risk) goal and (Ci) goal has 2.27 units positive derivation and it was made a various portfolio includes 8 stocks among 250 stocks.