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Year 2013, Volume: 62 Issue: 2, 17 - 27, 01.08.2013
https://doi.org/10.1501/Commua1_0000000695

Abstract

References

  • Bellman, R.E., Zadeh, L.A. 1970. Decision making in a fuzzy environment, Management Science 17, B141-B164.
  • Fabozzi, F., Kolm, P., Pachamanova, D., Focardi, S. 2007. Robust Portfolio Optimization and Management, Wiley.
  • *Huang,.X. 2007. A new perspective for optimal portfolio selection with random fuzzy returns.
  • Information Sciences, 5404-5414.
  • **Huang,.X. 2007. Portfolio selection with fuzzy returns. Journal of Intelligent and fuzzy systems-IOS Press.
  • Hasuike, T., Katagiri H., Ishii H. 2009. Portfolio selection problems with random fuzzy vari- able returns. Fuzzy Sets and Systems, 2579-2596.
  • Lai, Y.J, Hwang, C.L. 1992. Fuzzy Mathematical Programming (Methods and Applications)
  • Springer-Verlag Berlin, Germany. Markowitz, H.M., 1952. Portfolio Selection. The Journal of Finance. New york, 77-91.
  • Tanaka, H., Guo, P., 1998. Possibilistic Data Analysis for Operation Research.
  • Tanaka, H., Guo, P. and Turksen, I.B. 2000. Portfolio selection based on fuzzy probabilities and possibility distributions. Fuzzy Sets and Systems, 111, 387-397.
  • Wang, S. and Zhu, S. 2002. On Fuzzy Portfolio Selection Problems.Fuzzy Optimization and Decision Making, 1, 361-377.
  • Watada, J., 2001. Fuzzy portfolio model for decision making in investment, Dynamical As- pects in Fuzzy Decision Making, 141-162, Physica-Verlag, Heidelberg.
  • Zadeh, L.A. 1962. From circuit theory to system theory, Proceedings of Institute of Radio Engineering 856-865.
  • Zadeh, L.A. 1965. Fuzzy Sets, Information and Control 8, 338-353.
  • Current address : Ankara University Faculty of Science, Department of Statistics, Ankara, Turkey E-mail address : geroglu@science.ankara.edu.tr, apaydin@science.ankara.edu.tr URL: http://communications.science.ankara.edu.tr/index.php?series=A1

WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION

Year 2013, Volume: 62 Issue: 2, 17 - 27, 01.08.2013
https://doi.org/10.1501/Commua1_0000000695

Abstract

Portfolio selection has been originally proposed by H.M. Markowitz
1952. The Markowitzís approcach to the portfolio selection has some di¢ culties. For example, an aspiration level given by decision makers arenít taken
into consideration in the Markowitz approach. In this paper, Watadaís Fuzzy
Portfolio Selection Model Based on Decision Makerís Aspiration Level is presented basically. A numerical example of the Watadaís Portfolio Selection
Problem is given as the application. Data is taken as the closing prices of
eight securities that cycling in Istanbul Stock Exchange (IMKB) between the ·
dates of 01.06.2009-01.06.2010. Finally, it can be said that,the aspiration levels have been provided with a high membership degree so we can say that the
successfull portfolio has been formed. During the study, Excel, Minitab and
Lingo software programmes were used.

References

  • Bellman, R.E., Zadeh, L.A. 1970. Decision making in a fuzzy environment, Management Science 17, B141-B164.
  • Fabozzi, F., Kolm, P., Pachamanova, D., Focardi, S. 2007. Robust Portfolio Optimization and Management, Wiley.
  • *Huang,.X. 2007. A new perspective for optimal portfolio selection with random fuzzy returns.
  • Information Sciences, 5404-5414.
  • **Huang,.X. 2007. Portfolio selection with fuzzy returns. Journal of Intelligent and fuzzy systems-IOS Press.
  • Hasuike, T., Katagiri H., Ishii H. 2009. Portfolio selection problems with random fuzzy vari- able returns. Fuzzy Sets and Systems, 2579-2596.
  • Lai, Y.J, Hwang, C.L. 1992. Fuzzy Mathematical Programming (Methods and Applications)
  • Springer-Verlag Berlin, Germany. Markowitz, H.M., 1952. Portfolio Selection. The Journal of Finance. New york, 77-91.
  • Tanaka, H., Guo, P., 1998. Possibilistic Data Analysis for Operation Research.
  • Tanaka, H., Guo, P. and Turksen, I.B. 2000. Portfolio selection based on fuzzy probabilities and possibility distributions. Fuzzy Sets and Systems, 111, 387-397.
  • Wang, S. and Zhu, S. 2002. On Fuzzy Portfolio Selection Problems.Fuzzy Optimization and Decision Making, 1, 361-377.
  • Watada, J., 2001. Fuzzy portfolio model for decision making in investment, Dynamical As- pects in Fuzzy Decision Making, 141-162, Physica-Verlag, Heidelberg.
  • Zadeh, L.A. 1962. From circuit theory to system theory, Proceedings of Institute of Radio Engineering 856-865.
  • Zadeh, L.A. 1965. Fuzzy Sets, Information and Control 8, 338-353.
  • Current address : Ankara University Faculty of Science, Department of Statistics, Ankara, Turkey E-mail address : geroglu@science.ankara.edu.tr, apaydin@science.ankara.edu.tr URL: http://communications.science.ankara.edu.tr/index.php?series=A1
There are 15 citations in total.

Details

Primary Language English
Journal Section Research Articles
Authors

Gültaç Eroğlu İnan This is me

Aysen Apaydın This is me

Publication Date August 1, 2013
Published in Issue Year 2013 Volume: 62 Issue: 2

Cite

APA Eroğlu İnan, G., & Apaydın, A. (2013). WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, 62(2), 17-27. https://doi.org/10.1501/Commua1_0000000695
AMA Eroğlu İnan G, Apaydın A. WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. August 2013;62(2):17-27. doi:10.1501/Commua1_0000000695
Chicago Eroğlu İnan, Gültaç, and Aysen Apaydın. “WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 62, no. 2 (August 2013): 17-27. https://doi.org/10.1501/Commua1_0000000695.
EndNote Eroğlu İnan G, Apaydın A (August 1, 2013) WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 62 2 17–27.
IEEE G. Eroğlu İnan and A. Apaydın, “WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION”, Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat., vol. 62, no. 2, pp. 17–27, 2013, doi: 10.1501/Commua1_0000000695.
ISNAD Eroğlu İnan, Gültaç - Apaydın, Aysen. “WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 62/2 (August 2013), 17-27. https://doi.org/10.1501/Commua1_0000000695.
JAMA Eroğlu İnan G, Apaydın A. WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2013;62:17–27.
MLA Eroğlu İnan, Gültaç and Aysen Apaydın. “WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION”. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, vol. 62, no. 2, 2013, pp. 17-27, doi:10.1501/Commua1_0000000695.
Vancouver Eroğlu İnan G, Apaydın A. WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION. Commun. Fac. Sci. Univ. Ank. Ser. A1 Math. Stat. 2013;62(2):17-2.

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Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics.

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