Abstract:

Investors who want to evaluate their savings on currency instruments want to prepare a portfolio of currency instruments that provide minimum risk and maximum return when deciding which investment instrument and how much they should invest. This study used classic and foolish linear programming models based on the average absolute deviation model developed by Konno-Yamazaki. Between January 2010 and December 2018, optimal portfolios were created using the monthly return rates of 26 shares that are continuously traded in the BIST-30 index. The results of the analysis were found in different portfolio recommendations according to different types of investors with a foolish average absolute deviation model. When the portfolios obtained were assessed, the expected return rate increased and the number of shares to be invested increased. Thus, the study can be interpreted that the recommended portfolio diversification contributes to a more reliable local optimum for the investor by reducing the risk.

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