PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX

Serdar Ramazan Kahraman; Kartal Somuncu

Makale detayları

PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX

Yazarlar:

Serdar Ramazan Kahraman | Kartal Somuncu

Yayıncı:

Sakarya University

Ana Başlıklar:

Finans

Dergi:

İşletme Bilimi Dergisi Vol.11 Issue 3, pp.214-226

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001307605

pISSN:

2148-0737

Anahtar kelimeler:

Özet:

 Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index. Method: In the study, using the return data obtained from the adjusted weighted average price data of securities in the BIST-100, variance and covariance matrices were constracted to generate optimal portfolios, and the returns of two different portfolios were calculated and compared. Findings: The findings of the study indicate that, despite securities within the BIST-100 Index generally yielding negative returns during the 2018-2019 period, portfolios constructed based on semi-variance protected investors from the risk of negative returns. It was observed that as the levels of risk tolerance increased, the returns of portfolios also increased. Conclusions: It has been concluded that portfolios created according to semi-variance offer better protection for investors with low risk tolerance against the risk of unexpected negative returns.

 Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index. Method: In the study, using the return data obtained from the adjusted weighted average price data of securities in the BIST-100, variance and covariance matrices were constracted to generate optimal portfolios, and the returns of two different portfolios were calculated and compared. Findings: The findings of the study indicate that, despite securities within the BIST-100 Index generally yielding negative returns during the 2018-2019 period, portfolios constructed based on semi-variance protected investors from the risk of negative returns. It was observed that as the levels of risk tolerance increased, the returns of portfolios also increased. Conclusions: It has been concluded that portfolios created according to semi-variance offer better protection for investors with low risk tolerance against the risk of unexpected negative returns.

 Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index. Method: In the study, using the return data obtained from the adjusted weighted average price data of securities in the BIST-100, variance and covariance matrices were constracted to generate optimal portfolios, and the returns of two different portfolios were calculated and compared. Findings: The findings of the study indicate that, despite securities within the BIST-100 Index generally yielding negative returns during the 2018-2019 period, portfolios constructed based on semi-variance protected investors from the risk of negative returns. It was observed that as the levels of risk tolerance increased, the returns of portfolios also increased. Conclusions: It has been concluded that portfolios created according to semi-variance offer better protection for investors with low risk tolerance against the risk of unexpected negative returns.

 Aim: Araştırmanın amacı, varyans ve yarı varyansa göre oluşturulacak portföylerin performanslarını, BIST-100 Endeksinden elde edilen verileri kullanarak karşılaştırmaktır. Yöntem: Çalışmada, BIST-100de yer alan menkul kıymetlerin düzeltilmiş ağırlıklı ortalama fiyat verileri kullanılarak elde edilen getiri verileri yardımıyla varyans ve kovaryans matrisleri oluşturularak optimal portföyler elde edilmiş ve iki farklı portföyün getirileri hesaplanarak karşılaştırılmıştır. Bulgular: Araştırmanın bulguları, 2018 - 2019 döneminde BIST - 100 endeksinde yer alan menkul kıymetler genel olarak negatif getiri sağlamasına rağmen, yarı varyansa göre oluşturulan portföylerin yatırımcıyı negatif getiri riskinden koruduğunu göstermektedir. Risk toleransı düzeyleri arttıkça portföylerin getirilerinin de arttığı gözlenmiştir. Sonuç: Yarı varyansa göre oluşturulan portföylerin, düşük risk toleranslarında yatırımcıyı beklenmedik negatif getiri riskinden daha iyi koruduğu sonucuna ulaşılmıştır.

Makale detayları

PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX

Yazarlar:

Serdar Ramazan Kahraman | Kartal Somuncu

Yayıncı:

Sakarya University

Ana Başlıklar:

Finans

Dergi:

İşletme Bilimi Dergisi Vol.11 Issue 3, pp.214-226

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001307605

pISSN:

2148-0737

semi-variance

investment

risk

portfolio optimiztion

BIST-100 IndexYarı-varyans

yatırım

Risk

portföy optimizasyonu

BIST-100 endeksi

Sayı

Makale detayları

Yazarlar: Serdar Ramazan Kahraman | Kartal Somuncu

Yayıncı: Sakarya University

Ana Başlıklar: Finans

Dergi: İşletme Bilimi Dergisi Vol.11 Issue 3, pp.214-226

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001307605

pISSN: 2148-0737

Sayı

Yazarlar:

Serdar Ramazan Kahraman | Kartal Somuncu

Yayıncı:

Sakarya University

Ana Başlıklar:

Finans

Dergi:

İşletme Bilimi Dergisi Vol.11 Issue 3, pp.214-226

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001307605

pISSN:

2148-0737