DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX

Yıl: 2020 Cilt: 7 Sayı: 1 Sayfa Aralığı: 115 - 141 Metin Dili: İngilizce İndeks Tarihi: 11-06-2021

DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX

Öz:
The aims of this study are to lend assistance for the account ownerswho plan to make an investment in the financial markets to makethe most accurate investments possible; accordingly, to develop aportfolio selection model and present it with its implementations.Instead of the L2 (standard deviation), risk function which isapproached as a risk by Markowitz, the L1 (absolute deviation)risk function was used in the study and the optimal portfolios weretrying to be attained. After the data acquired from the index of theBorsa Istanbul 30 index, the portfolio optimization model whichis based on linear programming and was developed by Ching-TerChang (2005) was embraced in order to create an optimal portfolio.In this model, a new model was proposed by adding a limit ontrading volume to reduce the systematic risk of the portfolio withthe idea that it is one of the important indicators of the market andthat it can create a decision-making risk perception. Thus, it wasenabled for the portfolio to contain the equities from the industrialbranch in desired numbers in accordance with the desire of theinvestors by adding the preference constraints on the Chang model.It can be said that this study will be useful for the investors and thefinance executives who want to create a portfolio on specific riskand return level.
Anahtar Kelime:

Belirli Kısıtlar Altında Doğrusal Programlamaya Dayalı Bir Portföy Optimizasyonu Modelinin Geliştirilmesi: Borsa İstanbul 30 Endeksi Üzerine Bir Uygulama

Öz:
Bu çalışmanın amacı, finansal piyasalarda yatırım yapmayı düşünen tasarruf sahiplerine optimal yatırım yapma konusunda yol göstermek ve bu doğrultuda bir portföy optimizasyon modeli önermek ve uygulamaları ile birlikte sunmaktır. Çalışmamızda Markowitz’in risk olarak ele aldığı L2(standart sapma) risk fonksiyonu yerine, L1 (mutlak sapma) risk fonksiyonu kullanılmış ve optimal portföyler elde edilmeye çalışılmıştır. Borsa İstanbul 30 Endeksinden veriler elde edildikten sonra, optimal portföy oluşturmak için doğrusal programlama yaklaşımına dayalı olan Ching-Ter Chang (2005) tarafından geliştirilen portföy optimizasyon modeli ele alınmıştır. Bu modele, portföyün sistematik olmayan riskini azaltmak için endüstri kollarına dağılım ve piyasanın önemli göstergelerinden biri olması ve karar vericide risk algısı yaratabileceği düşüncesiyle işlem hacmi kısıtı eklenerek yeni bir model önerilmiştir. Böylelikle, Chang modeline tercih kısıtları ilave edilerek yatırımcının isteği doğrultusunda portföyün istenen sayıda endüstri kolundan hisse senetlerini içermesi sağlanmıştır. Bu çalışma belirli bir risk ve getiri düzeyinde portföy oluşturmak isteyen finans yöneticilerine ve yatırımcılarına faydalı olacağı söylenebilir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA erdaş m (2020). DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. , 115 - 141.
Chicago erdaş mehmet DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. (2020): 115 - 141.
MLA erdaş mehmet DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. , 2020, ss.115 - 141.
AMA erdaş m DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. . 2020; 115 - 141.
Vancouver erdaş m DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. . 2020; 115 - 141.
IEEE erdaş m "DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX." , ss.115 - 141, 2020.
ISNAD erdaş, mehmet. "DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX". (2020), 115-141.
APA erdaş m (2020). DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. TESAM AKADEMİ, 7(1), 115 - 141.
Chicago erdaş mehmet DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. TESAM AKADEMİ 7, no.1 (2020): 115 - 141.
MLA erdaş mehmet DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. TESAM AKADEMİ, vol.7, no.1, 2020, ss.115 - 141.
AMA erdaş m DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. TESAM AKADEMİ. 2020; 7(1): 115 - 141.
Vancouver erdaş m DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX. TESAM AKADEMİ. 2020; 7(1): 115 - 141.
IEEE erdaş m "DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX." TESAM AKADEMİ, 7, ss.115 - 141, 2020.
ISNAD erdaş, mehmet. "DEVELOPING A PORTFOLIO OPTIMIZATION MODEL BASED ON LINEAR PROGRAMMING UNDER CERTAIN CONSTRAINTS: AN APPLICATION ON BORSA ISTANBUL 30 INDEX". TESAM AKADEMİ 7/1 (2020), 115-141.