Abstarct: In the financial affairs, the issue of selecting appropriate and profitable stock as well as evaluation of portfolio performance are some of the most important issues which have highly engaged the minds of investors. In this regard, some models such as Data Envelopment Analysis (DEA) and Stochastic Dominace (SD) criterion have been suggested in order to evaluate portfolio performance. DEA technique is a non-parametric method which is baxsed on performance evaluation or optimization calculation of a finite number of homogeneous decidsion-making units. In the SD method, probability frequency function is used for selection of active portfolio. By the use of this method, efficient and inefficient portfolios can be identified. In addition to evaluation of DEA and SD models for stock selection and creation of optimum portfolio, this study also tries to evaluate efficiency of portfolios with these models; and by the use of doing a comparative evaluation, it also tries to introduce the stronger technique of portfolio performance evaluation to the investors.