A Scenario Based Linear Fuzzy Approach in Portfolio Selection Problem: Application in the Istanbul Stock Exchange

摘要

The selection of the proper portfolio in order to minimize risk and maximize future returns is one of the most significant problems in today's business environment, which is completely characterized with uncertainties about future returns of financial assets. In this paper, the application of the fuzzy sets theory to portfolio selection problem is presented as an alternative to the classical Markowitz theory. This new fuzzy approach enables experts to include their future expectations in the optimization model, allowing the opportunity for scenario based optimization. After laying down the theoretical points, a numerical example is applied to a portfolio with ten stocks trading on the Istanbul Stock Exchange to illustrate the proposed fuzzy approach and the results are compared with the classical Markowitz theory's.