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Journals / Finans Ekonomi ve Sosyal Araştırmalar Dergisi / 2026 / Cilt: 10 Sayı: 1

PORTFOLIO OPTIMIZATION IN FINANCIAL INVESTMENT INSTRUMENTS

PORTFÖY OPTİMİZASYONUNDA KRİPTO PARA BİRİMLERİ ÜZERİNE BİR ARAŞTIRMA

Elif Çetin(BOLU ABANT İZZET BAYSAL ÜNİVERSİTESİ)0000-0002-8051-0152
Mehmet İslamoglu(KARABÜK ÜNİVERSİTESİ)0000-0002-4416-0888
Elif Erer(MANİSA CELÂL BAYAR ÜNİVERSİTESİ)0000-0002-2238-4602
Pages
87–105
Publication Date
2025-03-31
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AI Summary & Key Takeaways

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

In the findings of the study, it was concluded that cryptocurrencies have a low correlation with traditional commodities and increase portfolio performance.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The aim of this study is to optimize three different traditional commodity portfolios and to examine the effects of diversification with cryptocurrencies on portfolios.
📊
Key Findings & Data:In order to optimize commodity portfolios and observe the effect of diversification with cryptocurrencies, the DCC-GARCH model was used with the help of the OxMetrics6 program.
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Conclusion & Impact:In the findings of the study, it was concluded that cryptocurrencies have a low correlation with traditional commodities and increase portfolio performance.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Portföy Optimizasyonu · Yatırım Araçları · Kripto Para Birimleri

Abstract

The aim of this study is to optimize three different traditional commodity portfolios and to examine the effects of diversification with cryptocurrencies on portfolios. The dataset of the study consists of daily data of four liquid cryptocurrencies and three different traditional commodities. In the study, appropriate ARMA models were determined for each commodity. In order to optimize commodity portfolios and observe the effect of diversification with cryptocurrencies, the DCC-GARCH model was used with the help of the OxMetrics6 program. According to the analysis results, some of the cryptocurrencies reduce investor risk in portfolio diversification, while others show protection. In the findings of the study, it was concluded that cryptocurrencies have a low correlation with traditional commodities and increase portfolio performance. In this context, cryptocurrencies are a good tool for portfolio diversification and positively affect portfolio performance.

Özet

Bu çalışmanın amacı, üç farklı geleneksel emtia portföylerinin optimize edilmesi ve kripto para birimleri ile çeşitlendirmenin portföyler üzerindeki etkilerinin incelenmesidir. Araştırmanın veri setini, dört likit kripto para birimi ve üç farklı geleneksel emtiaya ait günlük veriler oluşturmaktadır. Çalışmada her bir emtia için uygun ARMA modelleri belirlenmiştir. Emtia portföylerini optimize etme ve kripto para birimleri ile çeşitlendirmenin etkisini gözlemlemek amacıyla OxMetrics6 programı yardımıyla DCC-GARCH modeli kullanılmıştır. Ulaşılan analiz sonuçlarına göre, kripto para birimlerinden bir kısmı portföy çeşitlendirmesinde yatırımcı riskini azaltmakta bir kısmı da koruma özelliği göstermektedir. Çalışmanın bulgularında, kripto para birimlerinin, geleneksel emtialar ile arasındaki düşük korelasyon ve portföy performansını artırdığına ulaşılmıştır. Bu bağlamda, kripto para birimleri portföy çeşitlendirmesi için iyi bir araç olmakta ve portföy performansını olumlu etkilemektedir.

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Cite This Article

Çetin, E., İslamoglu, M., Erer, E. (2025). PORTFOLIO OPTIMIZATION IN FINANCIAL INVESTMENT INSTRUMENTS. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, Cilt: 10 Sayı: 1, 87–105. https://doi.org/10.29106/fesa.1598016

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