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Journals / EKOIST Journal of Econometrics and Statistics / 2026 / Issue: 13

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Gülder Kemalbay
Cemal Murat Özkut
Ceki Franko
Pages
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Publication Date
2011-06-08
DOI
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Abstract

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Özet

Bu makalenin amacı, çarpıklık ve basıklık gibi yüksek getiri momentleri için yatırımcının tercihlerini göz önüne alan bir portföy seçimi modeli önermektir. Çarpıklık ve basıklığın varlığında, portföy seçimi problemi, eş zamanlı olarak beklenen getiri ve çarpıklığın maksimizasyonu ile risk ve basıklığın minimize edilmesi gibi birbiri ile çelişen ve rekabet eden amaç fonksiyonları ile karakterize edilir. Polinomsal hedef programlama oluşturarak, Ocak 2005-Aralık 2010 periyodu için Türk Borsası’nda bir örnek sunulacaktır.

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Cite This Article

Kemalbay, G., Özkut, C. M., Franko, C. (2011). -. EKOIST Journal of Econometrics and Statistics, Issue: 13. https://ajindex.com/articles/1636395

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