WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION

Year 2013, Volume: 62 Issue: 2, 17 - 27, 01.08.2013

Gültaç Eroğlu İnan Aysen Apaydın

https://doi.org/10.1501/Commua1_0000000695

Cited By: 1

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.

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• Current address : Ankara University Faculty of Science, Department of Statistics, Ankara, Turkey E-mail address : [e-mail], [e-mail] URL: http://communications.science.ankara.edu.tr/index.php?series=A1