Generalized robust window data envelopment analysis approach for dynamic performance measurement under uncertain panel data

Peykani, Pejman; Gheidar-Kheljani, Jafar; Saen, Reza Farzipoor; Mohammadi, Emran

doi:10.1007/s12351-022-00729-7

Cited by 14 publications

(9 citation statements)

References 93 publications

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“…At the end, for future research, the effects of data ambiguity and uncertainty in asset-liability management can be considered [134][135][136][137][138][139][140][141][142]. For this purpose, the popular and applicable uncertain programming approaches such as fuzzy optimization and robust optimization [165][166][167][168][169][170][171][172][173][174][175][176][177][178][179][180][181] can be used to deal with uncertainty of data.…”

Section: Conclusion and Future Research Directionsmentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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Asset-Liability Management (ALM) of banks is defined as simultaneous planning of all bank assets and liabilities under different conditions and its purpose is to maximize profits and minimize the risks in banks by optimizing the parameters in the balance sheet. Most of the studies `and proposed models in the ALM field are based on an objective function that maximizes bank profit. It is not easy to apply changes in these models in order to reach the optimal values of the parameters in the balance sheet. In this article, an attempt has been made to propose a linear model using constraints to achieve optimal values of balance sheet parameters using ALM objectives and considering balance sheet, system and regulatory constraints. It has also been tried to design the model according to the most possible mode and with the least changes and to minimize the size of the balance sheet. The analysis of the model presented in this article has been conducted using the parameters of the balance sheet and income statement of one of the famous Iranian banks. The results obtained from the proposed model show that the values of cash and receivables from banks and other credit institutions have decreased by 30% and increased by 200%, respectively, compared to the actual values of these parameters. Also, Total Income, Operating Income and Non-Operating Income have grown by 30% compared to the actual values of these parameters. Also, the values of a number of parameters are estimated to be zero after optimization. According to the results, it is obvious that the performance of bank managers, especially in the management of bank assets, is significantly different from the optimal values of the balance sheet, and the results obtained from the proposed model can help the management of banks as much as possible.

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Section: Conclusion and Future Research Directionsmentioning

confidence: 99%

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

et al. 2023

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“…The stage helps to select appropriate stocks for investing. Data envelopment analysis is one of the common methods to attain this goal [68][69][70][71][72][73][74][75].…”

Section: Conclusion and Research Prospectsmentioning

confidence: 99%

Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree

Peykani,

Nouri,

Pishvaee

et al. 2023

Mathematics

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This study considers a time-consistent multi-period rolling portfolio optimization issue in the context of a fuzzy situation. Rolling optimization with a risk aversion component attempts to separate the time periods and psychological effects of one’s investment in a mathematical model. Furthermore, a resilient portfolio selection may be attained by taking into account fuzzy scenarios. Credibilistic entropy of fuzzy returns is used to measure portfolio risk because entropy, as a measure of risk, is not dependent on any certain sort of symmetric membership function of stock returns and may be estimated using nonmetric data. Mathematical modeling is performed to compare the Rolling Model (RM) and the Unified Model (UM). Two empirical studies from the Tehran stock market (10 stocks from April 2017 to April 2019) and the global stock market (20 stocks from April 2021 to April 2023) are utilized to illustrate the applicability of the suggested strategy. The findings reveal that RM can limit the risk of the portfolio at each time, but the portfolio’s return is smaller than that of UM. Furthermore, the suggested models outperform the standard deterministic model.

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“…Robustness to uncertainty. Building on the robustness of the RWDEA model (Peykani et al, 2022), the IICM model must maintain its reliability when faced with uncertain or complex data. This would allow it to be applied even in volatile market conditions, providing valuable insights despite the uncertainty.…”

Section: Jic 257mentioning

confidence: 99%

“…It combines measurable aspects with intangible elements, thus presenting a more accurate portrayal of a firm's IC. Moreover, the IICM model inherits the robustness of the RWDEA model (Peykani et al, 2022). It exhibits reliability when handling uncertain or complex data, making it suitable for volatile market conditions.…”

Section: Practical Implicationsmentioning

confidence: 99%

How to assess the intellectual capital of firms in uncertain times: a systematic literature review and a proposed model for practical adoption

Cosa,

Pedro,

Urban

2023

JIC

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PurposeIntellectual capital (IC) plays a crucial role in today’s volatile business landscape, yet its measurement remains complex. To better navigate these challenges, the authors propose the Integrated Intellectual Capital Measurement (IICM) model, an innovative, robust and comprehensive framework designed to capture IC amid business uncertainty. This study focuses on IC measurement models, typically reliant on secondary data, thus distinguishing it from conventional IC studies.Design/methodology/approachThe authors conducted a systematic literature review (SLR) and bibliometric analysis across Web of Science, Scopus and EBSCO Business Source Ultimate in February 2023. This yielded 2,709 IC measurement studies, from which the authors selected 27 quantitative papers published from 1985 to 2023.FindingsThe analysis revealed no single, universally accepted approach for measuring IC, with company attributes such as size, industry and location significantly influencing IC measurement methods. A key finding is human capital’s critical yet underrepresented role in firm competitiveness, which the IICM model aims to elevate.Originality/valueThis is the first SLR focused on IC measurement amid business uncertainty, providing insights for better management and navigating turbulence. The authors envisage future research exploring the interplay between IC components, technology, innovation and network-building strategies for business resilience. Additionally, there is a need to understand better the IC’s impact on specific industries (automotive, transportation and hospitality), Social Development Goals and digital transformation performance.

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Generalized robust window data envelopment analysis approach for dynamic performance measurement under uncertain panel data

Cited by 14 publications

References 93 publications

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Optimization of Asset and Liability Management of Banks with Minimum Possible Changes

Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree

How to assess the intellectual capital of firms in uncertain times: a systematic literature review and a proposed model for practical adoption

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