Application of factor analysis in fuzzy DEA model combined with Markowitz's model portfolio to determine the most efficient companies in the Tehran Stock Exchange

The main goal In this paper is to merge fuzzy DEA with Markowitz model to construct optimized portfolio of efficient companies in Tehran bourse. So, first using of DEA we choose efficient companies as efficient group, although we choose two type of efficient companies with adding controlling relative weight constraints for two type of investors (risk aversive & risk taker), Then, using of Markowitz model with regarding of the level of risk aversion, we construct efficient portfolio from efficient group.The large number of criteria is one of the MCDM model's problems for solving this problem we can use of factor analysis to reduce a complex data set to a lower dimension. In this paper with respect to experts's opinions,firstly the main variables corresponding to company's efficiency were assigned (15 financial ratio) and then using of factor analysis we reduse the number of these variables to eight, after that with adding controlling relative weight constraints to DEA model, we construct efficient groap for two type of investors (risk aversive & risk taker). due to relativeness of risk and return in terms of investors, whit imputing investors to type(risk aversive & risk taker), efficient groaps were constituted. Finaly investor can, with regarding of the level of his risk aversion, using of Markowitz model, construct optimal portfolio from efficient groaps. Though in final step optimal portfolios were choosed from efficient groaps, thus one of the main problem of Markowitz model that is nonregarding other criterion except risk and return, will be soleved.