Since decision on making an investment in exchange rate is one of the main problems faced by financial players acting in markets around the world, it is extensively discussed in the literature. In this study, it is investigated whether judgmental factors affect the decision in behavioral environment or not, and, if such an effect exists, its impact is whether positive or negative. In order to achieve that purpose, multi-criteria decision making approach is integrated with time series analysis approach which leads to clearly question the existence and direction of such an impact if it exists. The proposed model is applied to the Turkish market, indicating that judgmental factors prevent the financial player from misleading which is caused by considering solely profitability criterion. Thus, it is demonstrated that judgmental factors have a positive impact on the decision regarding exchange rate selection problem. Ultimately, it is demonstrated that the proposed integrated model provides accurate and reliable results.