Gangless cross-evaluation in DEA: an application to stock selection
RAIRO - Operations Research - Recherche Opérationnelle, Tome 53 (2019) no. 2, pp. 645-655.

This paper discusses the impact of ganging decision making units (DMUs) on the cross-efficiency evaluation in data envelopment analysis (DEA). A group of DMUs are said to be ganging-together if the minimum and the maximum cross-efficiency scores they give to all other DMUs are identical. This study demonstrates that the ganging phenomenon can significantly influence the cross-efficiency evaluation in favour of some DMUs. To overcome this shortcoming, we propose a gangless cross-efficiency evaluation approach. The suggested method reduces the effect of ganging and generates a more diversified list of top performing units. An application to the Tehran stock market is used to show the benefits of gangless cross-evaluation.

Reçu le :
Accepté le :
DOI : 10.1051/ro/2018060
Classification : 90B30, 90B50, 90C05, 90C90
Mots-clés : Data envelopment analysis, cross-efficiency evaluation, ganging decision making units, gangless cross-evaluation, stock selection
Amin, Gholam R. 1 ; Oukil, Amar 1

1 
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     title = {Gangless cross-evaluation in {DEA:} an application to stock selection},
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Amin, Gholam R.; Oukil, Amar. Gangless cross-evaluation in DEA: an application to stock selection. RAIRO - Operations Research - Recherche Opérationnelle, Tome 53 (2019) no. 2, pp. 645-655. doi : 10.1051/ro/2018060. http://www.numdam.org/articles/10.1051/ro/2018060/

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