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Journals / İşletme Bilimi Dergisi / 2023 / Cilt: 11 Sayı: 3

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

YARI-VARYANS MODELİ İLE PORTFÖY OPTİMİZASYONU: BIST-100 ENDEKSİ ÜZERİNDE BİR UYGULAMA

Serdar Ramazan Kahraman(AFYON KOCATEPE ÜNİVERSİTESİ)0000-0003-3895-5390
Kartal Somuncu(AFYON KOCATEPE ÜNİVERSİTESİ)0000-0002-5087-414X
Pages
214–226
Publication Date
2023-12-30
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

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.

📌 3 Key Takeaways

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Objective & Hypothesis: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.
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Key Findings & Data: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.
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Conclusion & Impact: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.
🔬Design:Araştırma Makalesi
📍Scope:2018-2019 Verileri
⚙️Variables:Yarı-varyans · yatırım · Risk

Abstract

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.

Özet

Aim: Araştırmanın amacı, varyans ve yarı varyansa göre oluşturulacak portföylerin performanslarını, BIST-100 Endeksi’nden elde edilen verileri kullanarak karşılaştırmaktır. Yöntem: Çalışmada, BIST-100'de 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.

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Cite This Article

Kahraman, S. R., Somuncu, K. (2023). PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX. İşletme Bilimi Dergisi, Cilt: 11 Sayı: 3, 214–226. https://doi.org/10.22139/jobs.1382612

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