A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks

Furkan Göktaş

doi:10.34248/bsengineering.1403554

Araştırma Makalesi

A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks

Yıl 2024, Cilt: 7 Sayı: 3, 7 - 8

Furkan Göktaş

https://doi.org/10.34248/bsengineering.1403554

Öz

Sustainable investment is a hot topic of portfolio selection. This study aims to examine sustainable portfolio selection for conservative investors. Thus, we propose a two-stage hybrid approach based on two-player zero-sum games. In the first stage, we use a fuzzy multi-criteria decision making (MCDM) approach to calculate the sustainability scores of the stocks based on expert knowledge. In the second stage, we form and solve a linear optimization problem by only adding a sustainability constraint to Young’s minimax portfolio selection model. We illustrate the hybrid approach using the weekly simple returns of eight stocks. We also compare our results with the results of Young’s minimax portfolio selection model.

Anahtar Kelimeler

Fuzzy set, Game theory, Multi-criteria decision making, Participation index, Portfolio selection, Sustainability

Kaynakça

Ballestero E, Bravo M, Pérez-Gladish B, Arenas-Parra M, Pla-Santamaria D. 2012. Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. Eur J Oper Res, 216(2): 487-494.
ilBilbao-Terol A, Arenas-Parra M, Cañal-Fernández V, Obam-Eyang PN. 2018. Multi-criteria analysis of the GRI sustainability reports: an application to socially responsible investment. J Oper Res Soc, 69(10): 1576-1598.

A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks

Yıl 2024, Cilt: 7 Sayı: 3, 7 - 8

Furkan Göktaş

https://doi.org/10.34248/bsengineering.1403554

Öz

Sürdürülebilir yatırım, portföy seçiminin sıcak gündem maddesidir. Bu çalışma tutucu yatırımcılar için sürdürülebilir portföy seçimini incelemeyi amaçlamaktadır. Bu nedenle, iki oyunculu sıfır toplamlı oyuna dayanan iki aşamalı hibrit bir yaklaşım öneriilmiştir. İlk aşamada, uzman bilgisine dayalı olarak hisse senetlerinin sürdürülebilirlik puanlarını hesaplamak için bir bulanık çok kriterli karar verme (ÇKKV) yaklaşımı kullanılmıştır. İkinci aşamada ise Young’ın minimaks portföy seçim modeline sadece sürdürülebilirlik kısıtı eklenerek doğrusal bir eniyileme problemi oluşturulup çözülmüştür. Sekiz hisse senedinin haftalık basit getirileri kullanılarak hibrit yaklaşım tanıtılmıştır. Ayrıca elde edilen sonuçlar Young'ın minimaks portföy seçim modelinden elde edilen sonuçlarla karşılaştırılmıştır.

Anahtar Kelimeler

Bulanık sayı, Oyun teorisi, Çok kriterli karar verme, Katılım endeksi, Portföy seçimi, Sürdürülebilirlik

Kaynakça

Ballestero E, Bravo M, Pérez-Gladish B, Arenas-Parra M, Pla-Santamaria D. 2012. Socially responsible investment: A multicriteria approach to portfolio selection combining ethical and financial objectives. Eur J Oper Res, 216(2): 487-494.
ilBilbao-Terol A, Arenas-Parra M, Cañal-Fernández V, Obam-Eyang PN. 2018. Multi-criteria analysis of the GRI sustainability reports: an application to socially responsible investment. J Oper Res Soc, 69(10): 1576-1598.

Toplam 2 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	İngilizce
Konular	Nicel Karar Yöntemleri, Çok Ölçütlü Karar Verme
Bölüm	Research Articles
Yazarlar	Furkan Göktaş 0000-0001-9291-3912
Yayımlanma Tarihi
Gönderilme Tarihi	12 Aralık 2023
Kabul Tarihi	7 Nisan 2024
Yayımlandığı Sayı	Yıl 2024 Cilt: 7 Sayı: 3

Kaynak Göster

APA	Göktaş, F. (t.y.). A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks. Black Sea Journal of Engineering and Science, 7(3), 7-8. https://doi.org/10.34248/bsengineering.1403554
AMA	Göktaş F. A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks. BSJ Eng. Sci. 7(3):7-8. doi:10.34248/bsengineering.1403554
Chicago	Göktaş, Furkan. “A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks”. Black Sea Journal of Engineering and Science 7, sy. 3 t.y.: 7-8. https://doi.org/10.34248/bsengineering.1403554.
EndNote	Göktaş F A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks. Black Sea Journal of Engineering and Science 7 3 7–8.
IEEE	F. Göktaş, “A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks”, BSJ Eng. Sci., c. 7, sy. 3, ss. 7–8, doi: 10.34248/bsengineering.1403554.
ISNAD	Göktaş, Furkan. “A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks”. Black Sea Journal of Engineering and Science 7/3 (t.y.), 7-8. https://doi.org/10.34248/bsengineering.1403554.
JAMA	Göktaş F. A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks. BSJ Eng. Sci.;7:7–8.
MLA	Göktaş, Furkan. “A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks”. Black Sea Journal of Engineering and Science, c. 7, sy. 3, ss. 7-8, doi:10.34248/bsengineering.1403554.
Vancouver	Göktaş F. A Game-Theoretical Integrated Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks. BSJ Eng. Sci. 7(3):7-8.