A COMPARISON OF PORTFOLIO OPTIMIZATION RESULTS WITH FUZZY KONNO-YAMAZAKI LINEAR PROGRAMMING IN BULL AND BEAR MARKETS: THE CASE OF TURKEY

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dc.authoridAKDAG, SAFFET/0000-0001-9576-6786
dc.contributor.authorIskenderoglu, Omer
dc.contributor.authorAkdag, Saffet
dc.date.accessioned2024-11-07T13:31:27Z
dc.date.available2024-11-07T13:31:27Z
dc.date.issued2019
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractIn 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.
dc.description.sponsorshipScientific Research Projects Coordination Unit of Nigde Omer HalisdemirUniversity [SOB 2017/03 DOKTEP]
dc.description.sponsorshipThis research has been supported by Scientific Research Projects Coordination Unit of Nigde Omer HalisdemirUniversity (Project number: SOB 2017/03 DOKTEP).
dc.identifier.doi10.24818/18423264/53.4.19.12
dc.identifier.endpage208
dc.identifier.issn0424-267X
dc.identifier.issn1842-3264
dc.identifier.issue4
dc.identifier.scopus2-s2.0-85076878410
dc.identifier.scopusqualityQ3
dc.identifier.startpage195
dc.identifier.urihttps://doi.org/10.24818/18423264/53.4.19.12
dc.identifier.urihttps://hdl.handle.net/11480/14855
dc.identifier.volume53
dc.identifier.wosWOS:000503401700012
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherAcad Economic Studies
dc.relation.ispartofEconomic Computation and Economic Cybernetics Studies and Research
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241106
dc.subjectPortfolio optimization
dc.subjectfuzzy logic
dc.subjectlinear programming
dc.subjectmarkov regime switching models
dc.titleA COMPARISON OF PORTFOLIO OPTIMIZATION RESULTS WITH FUZZY KONNO-YAMAZAKI LINEAR PROGRAMMING IN BULL AND BEAR MARKETS: THE CASE OF TURKEY
dc.typeArticle

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