Yeni Bir Çok Kriterli Karar Verme Yaklaşımı “Olabilirlik Değerlendirme Sistemi”: Katılım Fonları Üzerine Bir Uygulama

Abstract

Katılım hisse senedi şemsiye fonları, İslami finans ilkeleri çerçevesinde filtrelenmiş hisse senetlerine yatırım imkânı sağlayan bir yatırım alternatifidir. Olabilirlik teorisi karar vermede önemli bir araçtır. Bu çalışmada katılım hisse senedi şemsiye fonlarının karşılaştırılması gibi problemler için olabilirlik teorisine dayanan yeni bir çok kriterli karar verme (ÇKKV) yaklaşımı önerilmiştir. Bu yaklaşım Olabilirlik Değerlendirme Sistemi (PES) olarak adlandırılmıştır. PES, temel ÇKKV yöntemlerinden olan maksimin kuralı, ağırlıklı toplam yöntemi ve maksimaks kuralı ile ilişkilidir. Alternatiflerin öncelik vektörü PES ile tek olarak elde edilmektedir. Başka bir deyişle portföy seçimi problemi gibi çok amaçlı karar verme problemleri için tek bir çözüm vermektedir. PES, çok nitelikli karar verme problemleri için en yüksek önceliğe sahip alternatifin seçilmesine dayanmaktadır. PES, 31.07.2020 ve 30.12.2022 arasında Türkiye’de işlem gören beş farklı katılım hisse senedi şemsiye fonunun gerçek veri seti kullanılarak tanıtılmıştır. Yapılan uygulamada, PES’in bu temel yöntemlerden daha fazla bilgi ortaya koyduğu gözlemlenmiştir.

Keywords

• Bulanık sayı
• Çok kriterli karar verme
• İslami finans
• Katılım fonları
• TOPSIS
• Portföy seçimi

A New Multi-Criteria Decision Making Approach “Possibilistic Evaluation System”: An Application on Participation Funds

Abstract

Participation stock umbrella funds are an investment alternative that provides the opportunity to invest in stocks filtered within the framework of Islamic finance principles. Possibility theory is an important tool in decision making. In this study, we propose a new multi-criteria decision making (MCDM) approach based on possibility theory for problems such as comparing participation stock umbrella funds. We call this approach as the Possibilistic Evaluation System (PES). PES is related to the maximin rule, weighted sum method and maximax rule, which are the elementary MCDM methods. We uniquely derive alternatives’ priority vector with PES. In other words, it gives a unique solution for multi-objective decision making problems such as portfolio selection. It depends on selecting the alternative having the highest priority for multi-attribute decision making problems. We illustrate PES by using the real data set of five different participation stock umbrella funds traded in Türkiye between 31.07.2020 and 30.12.2022. In our application, we observe that PES reveals more information than these elementary methods.

Keywords

• Fuzzy number
• Multi-criteria decision making
• Islamic finance
• Participation funds
• TOPSIS
• Portfolio selection

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