Author/Authors
ünal, hüseyin karadeniz teknik üniversitesi - sbe - ekonometri bölümü, Turkey , paksoy, semin çukurova üniversitesi - iibf - ekonometri bölümü, Turkey
Title Of Article
FUZZY MEAN ABSOLUTE DEVİATİON MODEL IN OPTIMAL PORTFOLIO SELECTION AND BIST 30 APPLICATION
شماره ركورد
45291
Abstract
Investors who want to evaluate their savings in securities instruments want to prepare a portfolio consisting of securities that provide maximum return with minimum risk in making decisions about which investment tool they should invest in. In this study, classical and fuzzy linear programming models based on the Mean Absolute Deviation model developed by Konno-Yamazaki are used. Optimal portfolios were created using the monthly return ratios of 26 stocks, which are continuously traded in the BIST-30 index between January, 2010 and December, 2018. As a result of the analysis, different portfolio proposals were made according to different investor types by using fuzzy mean absolute deviation model. When obtained portfolios are considered, it is seen that the number of stocks to be invested increases as the expected rate of return increases. Thus, by decreasing the risk with the proposed portfolio diversification, this study can be interpreted as a contribution to the more reliable local optimum presentation to the investors.
From Page
611
NaturalLanguageKeyword
Fuzzy Logic , Fuzzy Linear Programming , Portfolio Analysis , Stock Exchange Istanbul
JournalTitle
Abant Sosyal Bilimler Dergisi
To Page
629
JournalTitle
Abant Sosyal Bilimler Dergisi
Link To Document