PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS
In today's developing financial markets, variouscomplex techniques are used in the creation of portfolios that will provide thebest return to the investors. In this study, a portfolio selection model thatincludes investment data and expert opinions is proposed. This model consistsof two stages....
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Mehmet Akif Ersoy University
2019-12-01
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| Series: | Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
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| Online Access: | https://dergipark.org.tr/en/download/article-file/913790 |
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| author | Serkan Akbaş Türkan Erbay Dalkılıç |
| author_facet | Serkan Akbaş Türkan Erbay Dalkılıç |
| author_sort | Serkan Akbaş |
| collection | DOAJ |
| description | In today's developing financial markets, variouscomplex techniques are used in the creation of portfolios that will provide thebest return to the investors. In this study, a portfolio selection model thatincludes investment data and expert opinions is proposed. This model consistsof two stages. In the first stage, the weight of the criteria in the portfolioselection problem was determined by the Constrained Fuzzy Analytic HierarchyProcess method proposed by Enea and Piazza. In the second stage, the modelproposed by Lai and Hwang was used to solve the problem of fuzzy linearprogramming to be formed by using the determined criteria weights. These twomethods 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 wasproposed. |
| format | Article |
| id | doaj-art-a123f1c85bee486fa3b3d15215d811bd |
| institution | Kabale University |
| issn | 2149-1658 |
| language | English |
| publishDate | 2019-12-01 |
| publisher | Mehmet Akif Ersoy University |
| record_format | Article |
| series | Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi |
| spelling | doaj-art-a123f1c85bee486fa3b3d15215d811bd2025-01-27T14:13:51ZengMehmet Akif Ersoy UniversityMehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi2149-16582019-12-016363465010.30798/makuiibf.519005273PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERSSerkan Akbaş0https://orcid.org/0000-0001-5220-7458Türkan Erbay Dalkılıç1https://orcid.org/0000-0003-2923-599XKaradeniz Technical UniversityKaradeniz Technical UniversityIn today's developing financial markets, variouscomplex techniques are used in the creation of portfolios that will provide thebest return to the investors. In this study, a portfolio selection model thatincludes investment data and expert opinions is proposed. This model consistsof two stages. In the first stage, the weight of the criteria in the portfolioselection problem was determined by the Constrained Fuzzy Analytic HierarchyProcess method proposed by Enea and Piazza. In the second stage, the modelproposed by Lai and Hwang was used to solve the problem of fuzzy linearprogramming to be formed by using the determined criteria weights. These twomethods 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 wasproposed.https://dergipark.org.tr/en/download/article-file/913790analytic hierarchy process (ahp)fuzzy logicportfolio selectiondecision analysisfinanceanalitik hiyerarşi sürecibulanık mantıkportföy seçimikarar analizifinans |
| spellingShingle | Serkan Akbaş Türkan Erbay Dalkılıç PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi analytic hierarchy process (ahp) fuzzy logic portfolio selection decision analysis finance analitik hiyerarşi süreci bulanık mantık portföy seçimi karar analizi finans |
| title | PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS |
| title_full | PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS |
| title_fullStr | PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS |
| title_full_unstemmed | PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS |
| title_short | PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS |
| title_sort | portfolio optimization with linear programming based on trapezoidal fuzzy numbers |
| topic | analytic hierarchy process (ahp) fuzzy logic portfolio selection decision analysis finance analitik hiyerarşi süreci bulanık mantık portföy seçimi karar analizi finans |
| url | https://dergipark.org.tr/en/download/article-file/913790 |
| work_keys_str_mv | AT serkanakbas portfoliooptimizationwithlinearprogrammingbasedontrapezoidalfuzzynumbers AT turkanerbaydalkılıc portfoliooptimizationwithlinearprogrammingbasedontrapezoidalfuzzynumbers |