Risk analysis based fuzzy and stochastic programming

For investors in the stock market, making projections about future returns can be very difficult. Bearing in mind that expected returns involve a significant amount of uncertainty, investors might expect the highest returns to be associated with the lowest risks. In order to mitigate uncertainty and to improve investment quality, alternative future portfolios were offered to investors. This study aims to create portfolio alternatives using the daily closing values of the second session of the Borsa Istanbul [the Istanbul Stock Exchange]. Assuming fuzzy uncertainty, its structure was examined in detail using the Zimmermann approach. This is a fuzzy mathematical programming model. In cases where the fuzzy constraint had a random structure, a chance-constrained model was examined, which is a stochastic programming problem.