sharp method

The purpose of this study is to develop portfolio selection methods using data envelopment analysis method. In this study, the efficiency of companies listed on the Tehran Stock Exchange in different classes has been measured using data envelopment analysis technique. For this purpose, using data-oriented CCR and BCC models of CRS and VRS applications, the relative efficiency of companies has been calculated. Also, efficient units have been identified and a portfolio of the most efficient companies has been formed and the return of the portfolio with the market portfolio has been compared. The required data of the research have been collected from the financial statements of 228 companies listed on the Tehran Stock Exchange in all industries for the period of 1399-1400. By examining the studies performed to calculate the efficiency of companies from three input variables including, working capital, price per share and the ratio of total debt to total assets and four output variables including, current debt to total debt ratio, dividend per share, profit per The share and return ratio of total assets are used. Findings showed that the proposed method can have a positive effect on stock portfolio selection and portfolio formation.