PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS

Year 2019, Volume: 6 Issue: 3, 634 - 650, 31.12.2019

Serkan Akbaş Türkan Erbay Dalkılıç

https://doi.org/10.30798/makuiibf.519005

Cited By: 1

Abstract

In today's developing financial markets, various
complex techniques are used in the creation of portfolios that will provide the
best return to the investors. In this study, a portfolio selection model that
includes investment data and expert opinions is proposed. This model consists
of two stages. In the first stage, the weight of the criteria in the portfolio
selection problem was determined by the Constrained Fuzzy Analytic Hierarchy
Process method proposed by Enea and Piazza. In the second stage, the model
proposed by Lai and Hwang was used to solve the problem of fuzzy linear
programming to be formed by using the determined criteria weights. These two
methods in the literature use triangular fuzzy numbers to solve the problem.
The methods used in this study were developed for trapezoidal fuzzy numbers
(TrFNs) and an alternative method for portfolio selection problems was
proposed.

Keywords

Analytic Hierarchy Process (AHP), Fuzzy Logic, Portfolio Selection, Decision Analysis, Finance

YAMUK BULANIK SAYILARA DAYALI DOĞRUSAL PROGRAMLAMA İLE PORTFÖY OPTİMİZASYONU

Abstract

Günümüzün gelişmekte olan finansal piyasalarında, yatırımcılara en iyi
getiriyi sağlayacak portföylerin oluşturulmasında çeşitli karmaşık teknikler
kullanılmaktadır. Bu çalışmada, yatırıma ilişkin verilerin ve uzman
görüşlerinin de dikkate alındığı bir portföy seçim modeli önerilmiştir. Model iki
aşamadan oluşmaktadır. İlk aşamada portföy seçim problemindeki kriterlerin
ağırlığı, Enea ve Piazza tarafından önerilen Kısıtlı Bulanık Analitik Hiyerarşi
Süreci yöntemiyle belirlenmiştir. İkinci aşamada, Lai ve Hwang tarafından
önerilen model, belirlenen kriterlerin ağırlıkları kullanılarak oluşturulan
bulanık doğrusal programlama problemini çözmek için kullanıldı. Literatürdeki
bu iki yöntem ile üçgen bulanık sayılar kullanmaktadır. Bu çalışmada,
kullanılan bu iki yöntem yamuk bulanık sayılar için geliştirilmiş ve portföy
seçim problemleri için alternatif bir yöntem önerilmiştir.

Keywords

Analitik Hiyerarşi Süreci, Bulanık Mantık, Portföy seçimi, Karar Analizi, Finans

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