Özet:

The aim of this study is to create an optimal portfolio according to variables that can affect the firm's return and Multi-Criteria Decision Making (MCDM) techniques. In the study, the data of the companies operating in the ISE Food, Beverage and Tobacco sector for the period of 2015-2020 were used. For this purpose, an integrated model consisting of Standard Deviation (SD) and The Preference Ranking Organization Method for Enrichment Evaluation (PROMETHEE) MCDM methods was used in the study. In the first stage of the study, weighting coefficients for the selected financial criteria were determined using the SD method. According to the SD method, the most important criterion affecting the performance of firms in the whole sample period is the current ratio. In the second stage, the performance scores of the companies were determined with the PROMETHEE method. In the last stage, a portfolio was created from companies that are above the effective limit according to the PROMETHEE method, depending on the performance scores obtained. According to the results of the PROMETHEE method, it was concluded that there were 6 companies that were above the effective limit in all periods included in the study. According to the results obtained, it is understood that the optimal portfolio created depending on the selected alternatives and criteria provides a higher return than the sector and BIST-100 index return. Therefore, it can be said that the selected decision variables and MCDM techniques are consistent in optimal portfolio creation.

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