DECISION MAKING FOR PORTFOLIO SELECTION BY FUZZY MULTI CRITERIA LINEAR PROGRAMMING

Abstract

In daily life events, there are many complexities arising from lackof information and uncertainty. Fuzzy linear programming approach has beendeveloped to reduce or eliminate this complexity. This approach is the processof choosing the optimum solution from among the decision alternatives toachieve a speciÖc purpose in cases where the information is not certain. Oneof the Öelds where uncertainty or the lack of information makes it di¢ cultto decide is Önancial markets. Investors who have a certain amount of accumulations aim to increase in various ways as well as protecting the valueof their income. While doing this, investors face the challenge of deciding towhat extent they should invest in which investment instrument. Therefore,investors use fuzzy linear programming approach to eliminate this uncertaintyand to create the optimal portfolio. In the proposed methods for the portfolioselection process in the literature, the weights of the criteria are calculated byusing triangular fuzzy numbers. In this study, as an alternative to the Eneaand Piazzaís portfolio selection model, which uses the triangular fuzzy numbersfor criteria weighting, a new model that uses the trapezoidal fuzzy numbersfor the same aim was proposed. With the solution of the linear programmingmodel which is based on the determined weights, an alternative solution hasbeen produced to the problem of which investment instrument will be investedat what proportion. The results regarding to the proposed and the existingmethod in the literature were compared.