TY  - JOUR
T1  - BULANIK PROGRAMLAMAYLA PORTFÖY OPTİMİZASYONU ÜZERİNE BİR UYGULAMA
TT  - AN APPLICATION ON PORTFOLIO OPTIMIZATION WITH FUZZY PROGRAMMING
AU  - Avşarlıgil, Nuri
PY  - 2020
DA  - January
Y2  - 2019
DO  - 10.30794/pausbed.554863
JF  - Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
JO  - PAUSBED
PB  - Pamukkale Üniversitesi
WT  - DergiPark
SN  - 1308-2922
SP  - 197
EP  - 209
IS  - 38
LA  - tr
AB  - Bu çalışmanın amacı, finansal yatırımcılar içinportföy tercihi aşamasında bulanık modellerin kullanılabilirliğiniaraştırmaktır. Bu amaçla, yatırımcıların ellerinde bulunan finansal kaynaklarıyatırıma dönüştürmek için kullanacakları portföylerin oluşturulmasında, geçmişfiyat değişimlerinden yararlanılarak, Bulanık Verdegay yöntemi aracılığıylayüksek getiri elde etmeye çalışılacaktır.Borsa İstanbul’da işlem gören, 10 adet endeks verisi kullanılarak,optimal portföy kararı verilmeye çalışılmıştır. Endekslerin geçmiş değerlerikullanılarak, ortalama getiri ve maksimum getiri eşik değerleri belirlenmiştir.Yatırımcılar tarafından bir yatırım kararı alınırken, literatürde portföyseçimi için kullanılan optimizasyon tekniklerinden bir tanesi olan Verdegaybulanık modeli, karma stratejiler arasından amaç fonksiyonuna göre optimalağırlıklandırma işlemi yapmaktadır. Yapılan ağırlıklandırma işlemi sonrası,çalışmanın son bölümünde ulaşılacak sonucun başarısı geriye dönük testleraracılığıyla tartışılmıştır.
KW  - Optimal Portföy
KW  - Bulanık Programlama
KW  - Verdegay Modeli
N2  - The purpose of this study is to investigate theavailability of fuzzy models in the portfolio preference phase for financialinvestors. For this purpose, in establishing the portfolios that investors willuse to invest in the financial resources of the investors, they will try toobtain high returns through the Fuzzy Verdegay method, using past pricechanges. An optimal portfolio decision was made by using 10 index data tradedin Borsa Istanbul. The average return and maximum return thresholds aredetermined using the historical values of the Indices. When an investmentdecision is taken by investors, the Verdegay fuzzy model, which is one of theoptimization techniques used for portfolio selection in the literature,performs optimal weighting according to the objective function among the mixedstrategies. After the weighting process, the success of the result to bereached in the last part of the study was discussed through retrospectivetests.
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UR  - https://doi.org/10.30794/pausbed.554863
L1  - https://dergipark.org.tr/tr/download/article-file/948945
ER  -