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

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Fatih Konak
Fatih Konak
2
Bugra Bagci
Bugra Bagci
1 Hitit University

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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.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

Fatih Konak. 2016. \u201cFuzzy Linear Programming on Portfolio Optimization: Empirical Evidence from FTSE 100 Index\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 16 (GJMBR Volume 16 Issue C2): .

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GJMBR Volume 16 Issue C2
Pg. 57- 61
Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: G11, G12
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v1.2

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March 16, 2016

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English

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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.

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

Fatih Konak
Fatih Konak Hitit University
Bugra Bagci
Bugra Bagci

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