The Effect of Risk-Free Interest Rate Preferences on Portfolio Optimization Results

Musa Ovalı; Koray Kayalıdere

Makale detayları

The Effect of Risk-Free Interest Rate Preferences on Portfolio Optimization Results

Yazarlar:

Musa Ovalı | Koray Kayalıdere

Yayıncı:

Kütahya Dumlupinar University

Ana Başlıklar:

Yatırımlar ve Portföy Yönetimi

Dergi:

Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 79, pp.243-257

Belge Tipi:

Makale

Yayın Tarihi:

1/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001310909

pISSN:

1302-1842

Anahtar kelimeler:

Özet:

 The risk-free interest rate is one of the most important parameters used by finance theory. The reason for the difference in risk-free rate preference may be the personal decisions of practitioners or the difficulties they encounter in accessing data. However, the consequences that may arise from different decisions taken in choosing this ratio are of importance that should not be ignored. In this study, the possible effects of the change in risk-free interest rate selection on optimal asset allocation were examined specifically in Borsa Istanbul. It was examined the 10 sub-indices selected within the scope of the research XBANK, XELKT, XGMYO, XGIDA, XKMYA, XMANA, XSGRT, XUTEK through optimization for the period 31.12.2007-31.12.2022 with monthly frequency. When the optimization results performed with 5 different risk-free interest rates selected as reference were examined, it was determined that the variation in the risk-free rate affected the optimal asset distribution and therefore return and risk of the portfolio. This result is important for both individual and corporate actors who use the risk-free rate in financial decisions and transactions to see the possible effects of the difference in the relevant rate.

 The risk-free interest rate is one of the most important parameters used by finance theory. The reason for the difference in risk-free rate preference may be the personal decisions of practitioners or the difficulties they encounter in accessing data. However, the consequences that may arise from different decisions taken in choosing this ratio are of importance that should not be ignored. In this study, the possible effects of the change in risk-free interest rate selection on optimal asset allocation were examined specifically in Borsa Istanbul. It was examined the 10 sub-indices selected within the scope of the research XBANK, XELKT, XGMYO, XGIDA, XKMYA, XMANA, XSGRT, XUTEK through optimization for the period 31.12.2007-31.12.2022 with monthly frequency. When the optimization results performed with 5 different risk-free interest rates selected as reference were examined, it was determined that the variation in the risk-free rate affected the optimal asset distribution and therefore return and risk of the portfolio. This result is important for both individual and corporate actors who use the risk-free rate in financial decisions and transactions to see the possible effects of the difference in the relevant rate.

 The risk-free interest rate is one of the most important parameters used by finance theory. The reason for the difference in risk-free rate preference may be the personal decisions of practitioners or the difficulties they encounter in accessing data. However, the consequences that may arise from different decisions taken in choosing this ratio are of importance that should not be ignored. In this study, the possible effects of the change in risk-free interest rate selection on optimal asset allocation were examined specifically in Borsa Istanbul. It was examined the 10 sub-indices selected within the scope of the research XBANK, XELKT, XGMYO, XGIDA, XKMYA, XMANA, XSGRT, XUTEK through optimization for the period 31.12.2007-31.12.2022 with monthly frequency. When the optimization results performed with 5 different risk-free interest rates selected as reference were examined, it was determined that the variation in the risk-free rate affected the optimal asset distribution and therefore return and risk of the portfolio. This result is important for both individual and corporate actors who use the risk-free rate in financial decisions and transactions to see the possible effects of the difference in the relevant rate.

 Risksiz faiz oranı, finans teorisinin kullandığı parametreler arasında en önemlilerinden biridir. Risksiz oran tercihinde karşılaşılan farklılığın sebebi uygulayıcıların kişisel kararları ya da veriye erişimlerinde karşılaştıkları zorluklar olabilmektedir. Fakat bu oranın seçilmesinde alınan farklı kararların yol açabileceği sonuçlar göz ardı edilmemesi gereken bir öneme sahiptir. Bu çalışmada, risksiz faiz oranı seçimindeki değişimin optimal varlık dağılımı üzerine olası etkileri Borsa İstanbul özelinde incelenmiştir. Araştırma kapsamında seçilen 10 alt endeks XBANK, XELKT, XGMYO, XGIDA, XKMYA, XMANA, XSGRT, XUTEK, XTRZM ve XULAS 31.12.2007-31.12.2022 dönemi için aylık frekansta optimizasyon yoluyla incelenmiştir. Referans olarak seçilen 5 farklı risksiz faiz oranı ile gerçekleştirilen optimizasyon sonuçları incelendiğinde, risksiz orandaki varyasyonun portföyün optimal varlık dağılımına dolayısıyla getiri ve riskine etki ettiği tespit edilmiştir. Bu sonuç, finansal karar ve işlemlerde risksiz orana başvuran gerek bireysel gerekse de kurumsal aktörlerin ilgili orandaki farklılığın yol açabileceği olası etkilerini görmeleri açısından önem taşımaktadır.

Makale detayları

The Effect of Risk-Free Interest Rate Preferences on Portfolio Optimization Results

Yazarlar:

Musa Ovalı | Koray Kayalıdere

Yayıncı:

Kütahya Dumlupinar University

Ana Başlıklar:

Yatırımlar ve Portföy Yönetimi

Dergi:

Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 79, pp.243-257

Belge Tipi:

Makale

Yayın Tarihi:

1/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001310909

pISSN:

1302-1842

Risk-Free Rate

Optimal Asset Allocation

OptimisationRisksiz Faiz Oranı

Optimal Varlık Dağılımı

Optimizasyon

Sayı

Makale detayları

The Effect of Risk-Free Interest Rate Preferences on Portfolio Optimization Results

Yazarlar: Musa Ovalı | Koray Kayalıdere

Yayıncı: Kütahya Dumlupinar University

Ana Başlıklar: Yatırımlar ve Portföy Yönetimi

Dergi: Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 79, pp.243-257

Belge Tipi: Makale

Yayın Tarihi: 1/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001310909

pISSN: 1302-1842

Risk-Free Rate

Optimal Asset Allocation

OptimisationRisksiz Faiz Oranı

Optimal Varlık Dağılımı

Optimizasyon

Sayı

Yazarlar:

Musa Ovalı | Koray Kayalıdere

Yayıncı:

Kütahya Dumlupinar University

Ana Başlıklar:

Yatırımlar ve Portföy Yönetimi

Dergi:

Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 79, pp.243-257

Belge Tipi:

Makale

Yayın Tarihi:

1/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001310909

pISSN:

1302-1842