PORTFOLIO OPTIMIZATION WITH A SIMULATION APPROACH TO LEARN ABOUT RETURN PREDICTABILITY: BORSA ISTANBUL APPLICATION

Hasan Akyer

Makale detayları

PORTFOLIO OPTIMIZATION WITH A SIMULATION APPROACH TO LEARN ABOUT RETURN PREDICTABILITY: BORSA ISTANBUL APPLICATION

Yazarlar:

Hasan Akyer

Yayıncı:

Süleyman Demirel University

Ana Başlıklar:

Endüstri Mühendisliği

Dergi:

Mühendislik Bilimleri ve Tasarım Dergisi Vol.11 Issue 4, pp.1461-1474

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307529

pISSN:

1308-6693

Anahtar kelimeler:

Özet:

 The main purpose of creating a portfolio for individual and institutional investors is to obtain high returns. For investors, it is necessary to make a comprehensive analysis of the return and risk aspects of the assets and to present a portfolio that will create minimum risk and maximum return. In the field of portfolio optimization, portfolio creation studies have been carried out using basically two methods in the literature. Traditional portfolio management is based on sectoral diversification. Modern Portfolio Management is an innovative approach based on the mathematical model. In this study, portfolios are obtained by using simulation method based on modern portfolio approaches. Portfolios were obtained according to the risk perception of the investors by using the Monte Carlo simulation method by using the Market Value  Book Value MV  BV and Price - Earnings PR ratios of the companies in BIST 30. As a result of the study, it has been observed that the stocks that make up the highest percentage of the portfolio have lower MVBV values. PR values were found to be the second-degree important factor.

 The main purpose of creating a portfolio for individual and institutional investors is to obtain high returns. For investors, it is necessary to make a comprehensive analysis of the return and risk aspects of the assets and to present a portfolio that will create minimum risk and maximum return. In the field of portfolio optimization, portfolio creation studies have been carried out using basically two methods in the literature. Traditional portfolio management is based on sectoral diversification. Modern Portfolio Management is an innovative approach based on the mathematical model. In this study, portfolios are obtained by using simulation method based on modern portfolio approaches. Portfolios were obtained according to the risk perception of the investors by using the Monte Carlo simulation method by using the Market Value  Book Value MV  BV and Price - Earnings PR ratios of the companies in BIST 30. As a result of the study, it has been observed that the stocks that make up the highest percentage of the portfolio have lower MVBV values. PR values were found to be the second-degree important factor.

 The main purpose of creating a portfolio for individual and institutional investors is to obtain high returns. For investors, it is necessary to make a comprehensive analysis of the return and risk aspects of the assets and to present a portfolio that will create minimum risk and maximum return. In the field of portfolio optimization, portfolio creation studies have been carried out using basically two methods in the literature. Traditional portfolio management is based on sectoral diversification. Modern Portfolio Management is an innovative approach based on the mathematical model. In this study, portfolios are obtained by using simulation method based on modern portfolio approaches. Portfolios were obtained according to the risk perception of the investors by using the Monte Carlo simulation method by using the Market Value  Book Value MV  BV and Price - Earnings PR ratios of the companies in BIST 30. As a result of the study, it has been observed that the stocks that make up the highest percentage of the portfolio have lower MVBV values. PR values were found to be the second-degree important factor.

 Bireysel ve kurumsal yatırımcılar açısından portföy oluşturmasındaki temel amaç yüksek getiri elde etmektir. Yatırımcılar açısından, varlıkların getiri ve risk yönlerini kapsamlı bir analiz yaparak minimum risk ve maksimum getiriyi oluşturacak şekilde bir portföy ortaya koymak gereklidir. Portföy optimizasyonu alanında, literatürde temel olarak iki yöntem kullanılarak portföy oluşturma çalışmaları yapılmıştır. Geleneksel portföy yönetimi, sektörel çeşitlendirme esasına dayanmaktadır. Modern portföy yönetimi ise matematiksel modeli esas alan yenilikçi bir yaklaşımdır. Bu çalışmada, modern portföy yaklaşımları temelli simülasyon metodu kullanılarak portföyler elde edilmiştir. BİST 30da yer alan şirketlerin Piyasa Değeri  Defter Değeri PDDD ve Fiyat  Kazanç FK oranlarını kullanarak Monte Carlo simülasyonu metodu ile yatırımcıların risk algısına göre portföyler elde edilmiştir. Çalışma sonucunda, portföyün en yüksek yüzdesini oluşturan hisselerin PDDD değerinin daha düşük olanlar olduğu gözlemlenmiştir. FK değerlerinin ikinci derece önemli faktör olduğu görülmüştür.

Makale detayları

PORTFOLIO OPTIMIZATION WITH A SIMULATION APPROACH TO LEARN ABOUT RETURN PREDICTABILITY: BORSA ISTANBUL APPLICATION

Yazarlar:

Hasan Akyer

Yayıncı:

Süleyman Demirel University

Ana Başlıklar:

Endüstri Mühendisliği

Dergi:

Mühendislik Bilimleri ve Tasarım Dergisi Vol.11 Issue 4, pp.1461-1474

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307529

pISSN:

1308-6693

Portfolio Optimization

Simulation

Financial RationsPortföy Optimizasyonu

Simülasyon

Finansal Oranlar

Sayı

Makale detayları

PORTFOLIO OPTIMIZATION WITH A SIMULATION APPROACH TO LEARN ABOUT RETURN PREDICTABILITY: BORSA ISTANBUL APPLICATION

Yazarlar: Hasan Akyer

Yayıncı: Süleyman Demirel University

Ana Başlıklar: Endüstri Mühendisliği

Dergi: Mühendislik Bilimleri ve Tasarım Dergisi Vol.11 Issue 4, pp.1461-1474

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001307529

pISSN: 1308-6693

Portfolio Optimization

Simulation

Financial RationsPortföy Optimizasyonu

Simülasyon

Finansal Oranlar

Sayı

Yazarlar:

Hasan Akyer

Yayıncı:

Süleyman Demirel University

Ana Başlıklar:

Endüstri Mühendisliği

Dergi:

Mühendislik Bilimleri ve Tasarım Dergisi Vol.11 Issue 4, pp.1461-1474

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001307529

pISSN:

1308-6693