Using analytic network process and goal programming methods in portfolio analysis of investors

After spending some part of their income for consumption, individuals allocate the rest to save money. Investors who want to save money move towards different investment instruments for different purposes. There are various factors affecting investors' choice of investment instrument. These factors might be related to the individual or to the financial and environmental factors belonging to the individual's environment. The investor aims for the highest profit with the lowest risk from the investment influenced by these factors. Moreover, s/he also wants to achieve their goals fully and minimize deviations from the target. In the portfolio that is created as a result of the investor's influence by these factors and in line with the targets that the investor has determined, the decision regarding the investment instruments and their proportion is considerably important. This study deals with the decision of creating a portfolio. In order to create an optimal portfolio, criteria that affect investor's investment decision and targets for this investment must be evaluated together. For this, Analytic Network Process (ANP) from multi-criteria decision-making methods and Goal Programming methods were used in an integrated manner. 3 main criteria and 13 sub criteria were determined for the problem and criteria were weighted through ANP method. The weights that were obtained through ANP method were used as the weights of the targets in Goal Programming method and in the calculation of the expected income. In line with the determined targets, the goal programming model was created and an optimal portfolio was determined for the investor. Keywords: Multi-criteria Decision-Making, Analytical Network Process, Goal Programming, Portfolio Management.