Minimization Of The Fuzzy Variance For The Portfolio Selection: Theory And Application On The Turkish Stocks
In today’s financial world portfolio management has become a big sector where every investor tries to increase the
return and decrease the risk at the same. The classical Mean Variance (MV) portfolio optimization method which is proposed
by H. Markowitz in 1952 has some limitations which do not satisfy today’s financial needs when working with real data. In this
study, a portfolio optimization model is introduced which is based on fuzzy variance minimization at a given return level. This
method brings a fuzzy approach to the MV defined by Markowitz so that the future returns of the stocks are predicted with the
help of the triangular fuzzy numbers. As an empirical example, this method is applied to the 12 well known stocks of the
Turkish Market. For further research, this portfolio optimization method which adds the fuzzy logic perspective to MV will be
applied to the other markets with various performance tests.
Index Terms- Fuzzy Variance Minimization, Portfolio Optimization, Triangular Fuzzy Numbers, Turkish Bist-30 Index.