WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION

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.

PDF

___

Bellman, R.E., Zadeh, L.A. 1970. Decision making in a fuzzy environment, Management Science 17, B141-B164.
Fabozzi, F., Kolm, P., Pachamanova, D., Focardi, S. 2007. Robust Portfolio Optimization and Management, Wiley.
*Huang,.X. 2007. A new perspective for optimal portfolio selection with random fuzzy returns.
Information Sciences, 5404-5414.
**Huang,.X. 2007. Portfolio selection with fuzzy returns. Journal of Intelligent and fuzzy systems-IOS Press.
Hasuike, T., Katagiri H., Ishii H. 2009. Portfolio selection problems with random fuzzy vari- able returns. Fuzzy Sets and Systems, 2579-2596.
Lai, Y.J, Hwang, C.L. 1992. Fuzzy Mathematical Programming (Methods and Applications)
Springer-Verlag Berlin, Germany. Markowitz, H.M., 1952. Portfolio Selection. The Journal of Finance. New york, 77-91.
Tanaka, H., Guo, P., 1998. Possibilistic Data Analysis for Operation Research.
Tanaka, H., Guo, P. and Turksen, I.B. 2000. Portfolio selection based on fuzzy probabilities and possibility distributions. Fuzzy Sets and Systems, 111, 387-397.
Wang, S. and Zhu, S. 2002. On Fuzzy Portfolio Selection Problems.Fuzzy Optimization and Decision Making, 1, 361-377.
Watada, J., 2001. Fuzzy portfolio model for decision making in investment, Dynamical As- pects in Fuzzy Decision Making, 141-162, Physica-Verlag, Heidelberg.
Zadeh, L.A. 1962. From circuit theory to system theory, Proceedings of Institute of Radio Engineering 856-865.
Zadeh, L.A. 1965. Fuzzy Sets, Information and Control 8, 338-353.
Current address : Ankara University Faculty of Science, Department of Statistics, Ankara, Turkey E-mail address : geroglu@science.ankara.edu.tr, apaydin@science.ankara.edu.tr URL: http://communications.science.ankara.edu.tr/index.php?series=A1

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics-Cover

ISSN: 1303-5991
Yayın Aralığı: Yılda 4 Sayı
Başlangıç: 1948
Yayıncı: Ankara Üniversitesi

Arşiv