Fuzzy linear programming and an application

Research into portfolio analysis using deterministic linearprogramming techniques have been criticized on different grounds. Mere factthat such approaches do not efficiently take into account uncertainties thatstem from socio-economic conditions devalues the results that are obtainedfrom such studies. It is believed that the experiences of first hand investors orportfolio managers are significant in directing investment activities. One wayto incorporate these experiences and uncertainties into the decision makingprocess is to utilize the fuzzy set concept within the linear programmingcontext. This study is an effort in this direction. In the study data on 26different stocks that are traded in the İstanbul Stock exchange were used.Optimum stock portfolios were determined under different scenarios definedin terms of risk behavior of the investors.