The Investigation of the Ability of Single-Index Sharp and DEA Models for Choosing Efficient Portfolio in Tehran Stock Exchange

In this research, the ability of Sharp and Data Envelopment Analysis (DEA) models for choosing efficient portfolio in Tehran Stock Exchange has been studied. The study population is all firms listed in Tehran Stock Exchange. Due to restrictions, 88 companies were analyzed in three periods from early 2006 to the end of the year 2008. Markowitz model was chosen for research as the base model and ability of Sharp and DEA models was examined according to Markowitz model. For obtaining the Markowitz and Sharp Portfolios, we used MATLAB software and for obtaining DEA Portfolio we used DEA SOLVER software. After the portfolio return and risk was specified and calculated, research assumptions were tested using the SPSS software and it was found that the sharp model has ability to combine portfolio at Tehran Stock Exchange but DEA model has this ability.