The purpose of this research is to develop portfolio selection methods by using data envelopment analysis method. In this research, the efficiency of the companies admitted to the Tehran Stock Exchange in different classes has been measured using data coverage analysis technique. For this purpose, using the data-oriented CCR and BCC models of CRS and VRS, the relative efficiency of the companies has been calculated. Also, the efficient units have been identified and a portfolio of the most efficient companies has been formed and the efficiency of the portfolio has been compared with the market portfolio. The data required for the research has been collected from the financial statements of 228 companies admitted to the Tehran Stock Exchange in all industries for the period of 2012-2015. By examining the studies conducted to calculate the efficiency of companies from three input variables including working capital, price per share and the ratio of total debt to total assets, as well as four output variables including the ratio of current debt to total debt, dividend per share, profit per Share and return ratio of total assets are used. The findings of the research showed that the presented method can have a positive effect on choosing the stock portfolio and forming a portfolio.