AN APPLICATION ON PORTFOLIO OPTIMIZATION WITH FUZZY PROGRAMMING

Abstract

The purpose of this study is to investigate the availability of fuzzy models in the portfolio preference phase for financial investors. For this purpose, in establishing the portfolios that investors will use to invest in the financial resources of the investors, they will try to obtain high returns through the Fuzzy Verdegay method, using past price changes. An optimal portfolio decision was made by using 10 index data traded in Borsa Istanbul. The average return and maximum return thresholds are determined using the historical values of the Indices. When an investment decision is taken by investors, the Verdegay fuzzy model, which is one of the optimization techniques used for portfolio selection in the literature, performs optimal weighting according to the objective function among the mixed strategies. After the weighting process, the success of the result to be reached in the last part of the study was discussed through retrospective tests.

Keywords

• Optimal Portfolio,Fuzzy Programming,Verdegay Model

BULANIK PROGRAMLAMAYLA PORTFÖY OPTİMİZASYONU ÜZERİNE BİR UYGULAMA

Abstract

Bu çalışmanın amacı, finansal yatırımcılar için portföy tercihi aşamasında bulanık modellerin kullanılabilirliğini araştırmaktır. Bu amaçla, yatırımcıların ellerinde bulunan finansal kaynakları yatırıma dönüştürmek için kullanacakları portföylerin oluşturulmasında, geçmiş fiyat değişimlerinden yararlanılarak, Bulanık Verdegay yöntemi aracılığıyla yüksek getiri elde etmeye çalışılacaktır.  Borsa İstanbul’da işlem gören, 10 adet endeks verisi kullanılarak, optimal portföy kararı verilmeye çalışılmıştır. Endekslerin geçmiş değerleri kullanılarak, ortalama getiri ve maksimum getiri eşik değerleri belirlenmiştir. Yatırımcılar tarafından bir yatırım kararı alınırken, literatürde portföy seçimi için kullanılan optimizasyon tekniklerinden bir tanesi olan Verdegay bulanık modeli, karma stratejiler arasından amaç fonksiyonuna göre optimal ağırlıklandırma işlemi yapmaktadır. Yapılan ağırlıklandırma işlemi sonrası, çalışmanın son bölümünde ulaşılacak sonucun başarısı geriye dönük testler aracılığıyla tartışılmıştır.

Keywords

• Optimal Portföy,Bulanık Programlama,Verdegay Modeli

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