YAMUK BULANIK SAYILARA DAYALI DOĞRUSAL PROGRAMLAMA İLE PORTFÖY OPTİMİZASYONU

Günümüzün gelişmekte olan finansal piyasalarında, yatırımcılara en iyi getiriyi sağlayacak portföylerin oluşturulmasında çeşitli karmaşık teknikler kullanılmaktadır. Bu çalışmada, yatırıma ilişkin verilerin ve uzman görüşlerinin de dikkate alındığı bir portföy seçim modeli önerilmiştir. Model iki aşamadan oluşmaktadır. İlk aşamada portföy seçim problemindeki kriterlerin ağırlığı, Enea ve Piazza tarafından önerilen Kısıtlı Bulanık Analitik Hiyerarşi Süreci yöntemiyle belirlenmiştir. İkinci aşamada, Lai ve Hwang tarafından önerilen model, belirlenen kriterlerin ağırlıkları kullanılarak oluşturulan bulanık doğrusal programlama problemini çözmek için kullanıldı. Literatürdeki bu iki yöntem ile üçgen bulanık sayılar kullanmaktadır. Bu çalışmada, kullanılan bu iki yöntem yamuk bulanık sayılar için geliştirilmiş ve portföy seçim problemleri için alternatif bir yöntem önerilmiştir.

Anahtar Kelimeler:

Analitik Hiyerarşi Süreci, Bulanık Mantık, Portföy seçimi, Karar Analizi, Finans

PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS

In today's developing financial markets, various complex techniques are used in the creation of portfolios that will provide the best return to the investors. In this study, a portfolio selection model that includes investment data and expert opinions is proposed. This model consists of two stages. In the first stage, the weight of the criteria in the portfolio selection problem was determined by the Constrained Fuzzy Analytic Hierarchy Process method proposed by Enea and Piazza. In the second stage, the model proposed by Lai and Hwang was used to solve the problem of fuzzy linear programming to be formed by using the determined criteria weights. These two methods in the literature use triangular fuzzy numbers to solve the problem. The methods used in this study were developed for trapezoidal fuzzy numbers (TrFNs) and an alternative method for portfolio selection problems was proposed.

Keywords:

Analytic Hierarchy Process (AHP), Fuzzy Logic, Portfolio Selection, Decision Analysis, Finance,

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