Belirsizlik Altında Portföy Seçimi Problemi için Bulanık Karar Verme Metodolojisi: Borsa İstanbul (BIST)’da Bir Uygulama

Yatırım alternatiflerinin etkin bir şekilde değerlendirilmesi ve verimli yatırım kararlarının alınabilmesi insanlık tarihinin en önemli karar problemlerden birini oluşturmuştur. Portföy yönetimi ve seçimi uzun yıllardır hem bilim adamlarının hem de iş dünyasındaki uygulamacıların ilgisini çeken bir konu olmuştur. Yatırımcıların hangi yatırım araçlarından ne oranda portföylerine almaları gerektiği sorusu portföy seçimi problemini doğurmuştur. Bu çalışmada belirsizlik altında portföy seçimi ele alınmış ve bu kapsamda sırasıyla Minimum, Eş Olasılık, Pişmanlık, İyimserlik, Geometrik ve Harmonik Ortalama kriterleri kullanılarak portföy seçimi yapılmıştır. Bu kriterler ışığında farklı tip yatırımcılar için planlar önerilmiştir. Belirsizlik altında portföy seçimi yapılırken sadece şirketlerin geçmiş dönem verileri incelenerek elde edilen finansal oranlarına bakılarak ve kullanılan kriterlerin karakteristikleri yardımıyla üyelik fonksiyonları oluşturulmuştur. Analiz yapılırken uzman görüşlerine başvuru ihtiyacı duyulmaması, kullanılan karar verme metodolojisinin kuvvetli ve pratik yönüdür.

Anahtar Kelimeler:

Portföy Seçimi, Karar analizi, Bulanık matematik programlama

Fuzzy Decision Making Methodology for Portfolio Selection Problem Under Uncertainty: An Application at Borsa İstanbul (BIST)

Evaluation of investment alternatives, taking effective and efficient investment decisions are became one of the most important decision-making problems in human history. Portfolio management and selection are the subject of interest of scientists and the practitioners at the business world for many years. More specifically, the decision-making problem is to decide which stocks are to be chosen for investment and in what proportions they will be bought. In this study, we handled the portfolio selection problem under uncertainty. In this context; we used minimum criterion, co-probability criterion, regret criterion, optimistic criterion, geometric mean and harmonic mean. The membership functions created with the help of the characteristics of used criteria, and we tried to provide consistent investment decisions by using these memberships for evaluating alternative stocks. While portfolio selection under uncertainty, the membership functions created by examining only the data obtained from previous periods of financial ratios of companies. During the analysis, no need to use expert opinion is a strong aspect of the methodology used in the decision-making.

Keywords:

Portfolio selection, Decision Analysis, Fuzzy Mathematical Programming,

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