The Effect of the Inclusion of Exchange Rates and Precious Metals in to the Portfolio Process on Optimization Results: An Application with Fuzzy Linear Programming

The purpose of this study is to test the effects of exchange rates and precious metals on portfolio optimization results as a result of inclusion in portfolio optimization process. In the study, portfolio optimization was realized with the daily data of BIST Sector indices, Dollar exchange rate, Euro exchange rate, Gold prices and Silver prices, between January 1, 2017 and December 31, 2018. As a result of the optimization of the sector indices, the expected daily return of the optimal portfolio was 0,17% and the risk of the portfolio was determined as 0,4%. As a result of portfolio optimization performed with the addition of exchange rates and precious metals to the optimization process, the expected daily return of the portfolio was 0.19% and the risk of the portfolio was determined as 0.37%. According to these results, the addition of exchange rates and precious metals to the portfolio optimization processes increased the expected return on the portfolio and decreased the risk