Applicability of Fuzzy TOPSIS Method in Optimal Portfolio Selection and an Application in BIST

Abstract

General structure of saving-investment cycle and the effectiveness of this structure are included in the most significant issues of the financial system. One of the points of intervention in providing an effective saving-investment cycle is possible through channeling the savings toward optimal investment fields. This study aims at detecting the existence of alternative methods in determining optimal selection combination in the risk and revenue perspective of individual and corporate investors who would like to evaluate their savings in capital markets. For this purpose, the applicability of Fuzzy TOPSIS method, one of the multi-criteria decision making techniques in optimal portfolio selection was researched. The applicability of the stock investment alternatives ranked according to Fuzzy TOPSIS method was examined by comparing them to the optimal selection results determined according to Markowitz, one of the modern portfolio management techniques. In the study where performance indexes were used as assessment criteria the results of both methods were discussed in terms of risk at a certain revenue level and revenue at a certain risk level through Johnson and Sharp Indexes. The results obtained determined that the Fuzzy TOPSIS portfolio alternatives created using Fuzzy TOPSIS method revealed quite positive results in terms of performance, revenue and risk and pointed at applicability of Fuzzy TOPSIS method in optimal portfolio selection as well.

Portfolio selection: a fuzzy-ANP approach

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Selection of Learning Apps to Promote Critical Thinking in Programming Students using Fuzzy TOPSIS

“…More specifically, this study will implement an expansion of the TOPSIS method to accommodate fuzziness in the decision problem setting. Fuzzy TOPSIS is widely and extensively applied among researchers in diverse fields of economics, business management, engineering, ICT and education, to solve various MCDM problems associated with site selection in mining and engineering, equipment selection, risk analysis for complex infrastructure projects, portfolio selection, selection of e-Learning approaches, supplier selection and software selection [16][17][18][19][20][21][22][23]. The advantages of Fuzzy TOPSIS include its ease of implementation, capacity to compare the strongest and weakest alternatives quantitatively, that it enables linguistic expressions to be represented as fuzzy numbers, and its practicality and ability to handle incomplete or partial quantitative data [24].…”

Gospodarka, społeczeństwo i rynki finansowe w dobie wyzwań współczesnego świata

“…Na podstawie studiów literaturowych oraz uprzednio prowadzonych badań (Chen, Hung, 2009;Ece, Uludag, 2017;Kazemi i in., 2014;Liu, i in., 2012;Nguyen, Gordon-Brown, 2012;Pośpiech, 2017aPośpiech, , 2017bPośpiech, , 2018Pośpiech, , 2020aPośpiech, , 2020bPośpiech, , 2020cPośpiech, Mastalerz-Kodzis, 2015Raei, Bahrani Jahromi, 2012), zastosowano narzędzia i metody, które w zagadnieniu wspomagania wyboru portfela dawały możliwość uzyskania interesujących wyników. W analizach wykorzystano wielokryterialne metody TOPSIS (standardową i w ujęciu rozmytym -FTOPSIS) oraz narzędzia analizy portfelowej wykorzystywane do konstruowania portfeli efektywnych (portfeli o najmniejszym ryzyku przy zadanej stopie zwrotu).…”