Fuzzy linear programming and an application on the İstanbul Stock Exchange

There are many complexities arising from the lack of knowledge and uncertainty in incidents of daily life. Therefore, it is difficult to be completely objective in the decision-making process. Fuzzy linear programming model has been developed to reduce or eliminate this complexity. Fuzzy linear programming model is described as a more general form of the linear programming model implemented in classical logic. More flexible solutions can be produced via this model in which aims and/or restrictions are fuzzy. One of the fields where lack of information and uncertainty make it difficult in decision-making is financial markets. Investors who seek to evaluate their savings in financial markets, creating portfolios from various securities. While doing this, they encounter the problem of deciding to which investment vehicle they need to invest in what extent. Therefore, investors apply to fuzzy linear programming model to eliminate this uncertainty and to create the optimal portfolio. In this study, first of all, theoretical information about fuzzy logic and fuzzy sets has been given and crisp linear programming and fuzzy linear programming have been studied. Secondly, after explaining the concept of the portfolio, the subject of portfolio analysis has been discussed. In the final part of the study, by using both models, optimal portfolios have been created among twenty-six stocks traded on İstanbul Stock Exchange. Keywords: Fuzzy logic, fuzzy linear programming, portfolio analysis, crisp linear programming, Istanbul stock exchange