Comparison of BIST-traded banks' stock performance with fuzzy goal programming and Markowitz methods

In the thesis study, fuzzy goal programming which is one of the goal programming methods was chosen from multi-criteria decision making techniques. With the Wang-Fu fuzzy goal programming model, one of the fuzzy goal programming methods, different risk situations can be examined in which the decision makers are risk-neutral, risk-taking and risk-based according to the risk classes. Also, it is necessary to create an optimum portfolio by taking into consideration the relationship between the stocks in the portfolio using the Markowitz method, one of the modern portfolio methods. In this study, the model prepared by comparing Wang-Fu fuzzy goal programming method with risk-neutral, risk-taking and risk-based decision makers according to the risk classes, prepared by comparing the Markowitz method and choosing the optimal portfolio by taking the data of 12 bank indexes processed in BIST, is calculated by the Lingo package program.