A COMPARISON OF PORTFOLIO OPTIMIZATION RESULTS WITH FUZZY KONNO-YAMAZAKI LINEAR PROGRAMMING IN BULL AND BEAR MARKETS: THE CASE OF TURKEY
Küçük Resim Yok
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Acad Economic Studies
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In this study, it is aimed to test whether or not the market regimes have impacts on portfolio optimization results by using fuzzy linear programming model.In this context, the bull and the bear market regimes of BIST 100 index as an accepted market indicator, between January 2000 and December 2016, are determined by Markov regime switching model. Portfolio optimization is carried out by using the fuzzy linear programming model for each of two different bulls and two different bear markets determined as the result of the analysis.According to optimization results, the bear markets have similarities within themselves while the bull markets differ. Thus, optimization results in the bull and the bear markets indicate discrepancies.
Açıklama
Anahtar Kelimeler
Portfolio optimization, fuzzy logic, linear programming, markov regime switching models
Kaynak
Economic Computation and Economic Cybernetics Studies and Research
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
53
Sayı
4
