Use of multiple criteria decision making methods in portfolio optimization, an application on stocks traded in BIST 100

Investors aim to direct their savings to effective and profitable areas. The inclusion of savings in the economy will accelerate the national economy and accelerate the development. Investors will need a good portfolio and portfolio management as they start to evaluate their savings. One of the investment tools that can be prefferred while investing is also seen as stocks. Investors create a portfolio by diversifying their funds in order to reduce the risk. The most important issue when creating a portfolio is the selection of stocks. Today, a number of theoretical methods have been developed to simplify portfolio creation. Investors are able to determine the portfolios they will create by using these methods. In our study, efficiency measurement were made by Data Envelopment Analysis methods by being obtained four-periods financial data of 2017 of companies in BİST 100 index and optimal portfolios are tried to be created within the active stocks. Analysis of created portfolios has been made in detail and results have been obtained. Finally, recommendations were made for studies that will done in the future.