WATADAíS FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION

Abstract

Portfolio selection has been originally proposed by H.M. Markowitz1952. The Markowitz’s approcach to the portfolio selection has some di¢ culties. For example, an aspiration level given by decision makers aren’t takeninto consideration in the Markowitz approach. In this paper, Watada’s FuzzyPortfolio Selection Model Based on Decision Maker’s Aspiration Level is presented basically.A numerical example of the Watada’s Portfolio SelectionProblem is given as the application. Data is taken as the closing prices ofeight securities that cycling in ·Istanbul Stock Exchange (IMKB) between thedates of 01.06.2009-01.06.2010. Finally, it can be said that,the aspiration levels have been provided with a high membership degree so we can say that thesuccessfull portfolio has been formed. During the study, Excel, Minitab andLingo software programmes were used