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

Beyza Özkök

Alphanumeric Journal, 2019, vol. 7, issue 1, 55-70

Abstract: Evaluation of investment alternatives, taking effective and efficient investment decisions are becoming 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: Decision Analysis; Financial Decision Making; Fuzzy Mathematical Programming; Portfolio Selection (search for similar items in EconPapers)
JEL-codes: C46 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:anm:alpnmr:v:7:y:2019:i:1:p:55-70

DOI: 10.17093/alphanumeric.532667

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