PORTFOLIO OPTIMIZATION WITH LINEAR PROGRAMMING BASED ON TRAPEZOIDAL FUZZY NUMBERS

In today's developing financial markets, various complex techniques are used in the creation of portfolios that will provide the best return to the investors. In this study, a portfolio selection model that includes investment data and expert opinions is proposed. This model consists of two stages. In the first stage, the weight of the criteria in the portfolio selection problem was determined by the Constrained Fuzzy Analytic Hierarchy Process method proposed by Enea and Piazza. In the second stage, the model proposed by Lai and Hwang was used to solve the problem of fuzzy linear programming to be formed by using the determined criteria weights. These two methods in the literature use triangular fuzzy numbers (TFNs) in the solutions process of the problem. The methods used in this study were developed for trapezoidal fuzzy numbers (TrFNs) and an alternative method for portfolio selection problems was proposed.