Abstract:

The purpose of this paper is to test the success of the fuzzy mean absolute deviation model in determining optimal portfolios. The model is formed by using mean absolute deviation model, developed in Konno and Yamazaki (1991) study and fuzzy logic . With the fuzzy mean absolute deviation model, portfolio optimization was carried out with the monthly percentage returns of the 30 stocks in the BİST 30 index that were traded on the stock exchange between January 2011 and December 2016. As a result of the analysis, it was determined that the level of satisfaction of the optimal portfolio and the return of the optimal portfolio are higher than the mean return of stocks, included in analysis. In this respect, it is possible to say that the fuzzy mean absolute deviation model is successful in determining the optimal portfolios.

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