Research
Fuzzy Linear Programming on Portfolio Optimization: Empirical Evidence from FTSE 100 Index
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.
Linear Programming on Portfolio Optimization: Empirical Evidence from BIST Mining Industry Index
A lot of methods are improved for the portfolio optimization within classical approach. Quadratic programming, one of these methods, has many disadvantages, so alternative methods are studied to improve. MAD Method, an improved new method, is converted portfolio optimization problem into a linear programming problem. MAD Method is demonstrated and a case study is done by using stock certificate which belongs to BIST Mining Sector.
