Decision making for portfolio selection by fuzzy multi criteria linear programming

Yıl 2019, Cilt: 68 Sayı: 2, 2238 - 2257, 01.08.2019

Serkan Akbaş , Türkan Erbay Dalkılıç

https://doi.org/10.31801/cfsuasmas.467286

Cited By: 2

Öz

In daily life events,
there are many complexities arising from lack of information and uncertainty.
Fuzzy linear programming model has been developed to reduce or eliminate this
complexity. Fuzzy linear programming is the process of choosing the optimum solution
from among the decision alternatives to achieve a specific purpose in cases
where the information is not certain. One
of the fields where the lack of information or uncertainty makes it difficult
to decide is financial markets. Investors who have a certain amount of
accumulations are aiming to increase in various ways as well as protecting the
value of their income. While doing this, encounter the problem of deciding to
which investment vehicle they need to invest in what extent. Therefore, investors
apply to fuzzy linear programming model to eliminate this uncertainty and to
create the optimal portfolio. In
the portfolio selection process suggestions in the literature, the
determination of criteria weights is based on triangular fuzzy numbers. In this
study, as an alternative to the Enea and Piazza's portfolio selection model,
which uses the triangular fuzzy numbers for criteria weighting, a new model
that uses the trapezoidal fuzzy numbers for the same aim was proposed. With the
solution of the linear programming model which is based on the determined
weights, an alternative solution has been produced to the problem of which
investment instrument will be invested at what proportion. The results obtained from the existing methods and the
results obtained from the proposed model were compared.

Anahtar Kelimeler

Multi-criteria decision making, Linear Programming, Analytic hierarchy process, Trapezoidal fuzzy numbers, Portfolio selection

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