Selecting the optimal portfolio of stocks for investment due to budget constraints, Using data envelopment analysis technique

Data envelopment analysis is a powerful tool based on mathematical programming to evaluate the performance and measure the efficiency of a set of decision-making units with multiple inputs and outputs. The purpose of this study is to provide a method for selecting an optimal category of assets listed on the stock market due to the investor's budget constraints based on their efficiency and performance. In this study, each asset is considered a decision-making unit that includes input and output vectors. In this article, in order to invest in the stock market, it is assumed that the investor's budget is a known and limited amount and the investor intends to know which assets to choose for investment and how much to invest in each asset.