Fuzzy Linear Programming on Portfolio Optimization: Empirical Evidence from FTSE 100 Index

Fatih Konak

Authors

Fatih Konak

Keywords:

fuzzy linear programming, FTSE 100

Abstract

Portfolio is a list of securities that the investor has. The main objective of portfolio management is to maximize return while minimizing unsystematic risk. Firstly, fundamental definitions are given about theory of fuzzy logic and fuzzy logic approach is stated in this study. In the model of fuzzy logic price/earnings ratio and accumulation/distribution index which are added by the model that Werner improved. Taking all into consideration a new model is developed at the last part of this research.

Downloads

How to Cite

Fuzzy Linear Programming on Portfolio Optimization: Empirical Evidence from FTSE 100 Index. (2016). Global Journal of Management and Business Research, 16(C2), 57-61. https://journalofbusiness.org/index.php/GJMBR/article/view/1953

Download Citation

References

E Ammar, H Khalifa (2003) Fuzzy portfolio optimization a quadratic programming approach. 18, 1045-1054.

F Apaydın (2009) Teknik analizde optimizasyon uygulaması ve bu uygulamanın İMKB üzerinde test edilmesi.

C Aslantaş (2008) Portföy yönetiminde fuzzy yaklaşımı.

K Aydoğan, A Güney (1996) Hisse senedi fiyatlarının tahmininde F/K oranı ve temettü verimi. 1(1).

F Baştürk, H (2004) F/K oranı ve firma büyüklüğü anomalilerinin bir arada ele alınarak portföy oluğturulması ve bir uygulama örneği. 1564.

İ Bekçi (2001) Optimal portföy oluşturulmasında bulanık doğrusal programlama modeli ve İMKB'de bir uygulama, Doktora Tezi.

Christer Carlsson, Pekka Korhonen (1986) A parametric approach to fuzzy linear programming. 20(1), 17-30.

S Chanas (1983) The use of parametric programming in fuzzy linear programming. 11, 243-251.

M Delgado, J Verdegay, M Vila (1989) A general model for fuzzy linear programming. 29(1), 21-29.

R Gasimov, K Yenilmez (2002) The Proposed Method for Solving Multi-Objectives Fully Fuzzy Linear Programming Problems via Ranking Functions with Heptagonal Membership. 26, 375-396.

Takashi Hasuike, Hideki Katagiri, Hiroaki Ishii (2009) Portfolio selection problems with random fuzzy variable returns. 160(18), 2579-2596.

M Horasan (2009) Fiyat/Kazanç oranının hisse senedi getirilerine etkisi: İMKB 30 endeksi üzerine bir uygulama. 23(1).

M Karan (2001) Yatırım analizi ve portföy yönetimi, Gazi Kitabevi. 1, 72-85.

Hiroshi Konno, Hiroaki Yamazaki (1991) Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market. 37(5), 519-531.

A Unknown Title.

Harry Markowitz (1952) Portfolio Selection. 7(1), 77.

R Östermark (1996) A fuzzy control model (FCM) for dynamic portfolio management. 78, 23-254.

S Ramaswamy (1998) Portfolio selection using fuzzy decision theory. 59, 17-23.

T Shaocheng (1994) Interval number and fuzzy number linear programming Fuzzy Sets and Systems. 66, 301-306.

H Tanaka, K Asai (1984) Fuzzy linear programming problems with fuzzy numbers. 13(1), 1-10.

H Zimmermann (1974) Optimization in fuzzy environment.