Watada's Fuzzy Portfolio selection model and its application

Abstract

Portfolio selection has been originally proposed by H.M.Markowitz 1952. The Markowitz’s approcach to the portfolio selection has some di¢ cul- ties. For example, an aspiration level given by decision makers aren’t taken into consideration in the Markowitz approach. In this paper, Watada’s Fuzzy Portfolio Selection Model Based on Decision Maker’s Aspiration Level is pre- sented basically. A numerical example of the Watada’s Portfolio Selection Problem is given as the application. Data is taken as the closing prices of eight securities that cycling in · Istanbul Stock Exchange (IMKB) between the dates of 01.06.2009-01.06.2010. Finally, it can be said that,the aspiration lev- els have been provided with a high membership degree so we can say that the successfull portfolio has been formed. During the study, Excel, Minitab and Lingo software programmes were used. 1.