Economics at your fingertips  

A Novel Portfolio Selection Model with Preemptive Fuzzy Goal Programming

Ozan Kocadagli and Ridvan Keskin
Additional contact information
Ozan Kocadagli: Mimar Sinan Fine Arts University, Turkey
Ridvan Keskin: Celal Bayar University, Turkey

from ToKnowPress

Abstract: In the Financial Markets, the investors mostly take into account the different kinds of the objectives to achieve the best performance. The multi-objective programming methods allow the investors to handle these objectives simultaneously. Preemptive fuzzy goal programming is one of the most efficient methods in the multi-objective programming, because it assigns the fuzzy goals to the objectives having different priorities among each other. In this article; the portfolio risk, the return levels and the beta coefficient defined in the Capital Asset Pricing Model are handled as different objectives. In order to assign the fuzzy goals to these objectives, the fuzzy membership functions are constituted with respect to the different types of investor strategies based on the market moving trends. By using these fuzzy membership functions in the preemptive fuzzy goal programming approach, a novel portfolio selection model is proposed. In the application sections, the two different periods having the upward and the downward moving trends in the Istanbul Stock Exchange National 30 Index are handled separately, then the optimal portfolios are determined using the proposed portfolio selection model in accordance with different investment strategies. Finally, the optimal portfolios are compared in terms of their performances based on the selling prices in the test periods.

Keywords: multiple objective programming; preemptive fuzzy goal programming; portfolio selection model; capital asset pricing model; portfolio management (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) full text (application/pdf) Conference Programme (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this chapter

More chapters in Human Capital without Borders: Knowledge and Learning for Quality of Life; Proceedings of the Management, Knowledge and Learning International Conference 2014 from ToKnowPress
Bibliographic data for series maintained by Alen Jezovnik ().

Page updated 2020-06-23
Handle: RePEc:tkp:mklp14:985-995