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Journals / Yaşar Üniversitesi E-Dergisi / 2022 / Cilt: 17 - Sayı: 65

Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey

Sektör Düzeyinde Portföy Çeşitlendirmesi ve Portföy Optimizasyonu, Türkiye Uygulaması

Tarana AZİMOVA
Pages
277–294
Publication Date
2022-01-31
DOI
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AI Summary & Key Takeaways

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

Portfolio optimization analysis indicates that the wholesale, retail trade and transportation industries should be prioritized by the policymakers, as these industries earn the highest returns at a given risk level.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper applies the mean-variance, mean-VaR, and mean-CVaR portfolio optimization approach to investigate opportunities for domestic diversification from Turkey investors’ viewpoints.
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Key Findings & Data:We explore diversification potential and investment opportunities at the industry level for the time period between 2007 and 2020.
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Conclusion & Impact:Portfolio optimization analysis indicates that the wholesale, retail trade and transportation industries should be prioritized by the policymakers, as these industries earn the highest returns at a given risk level.
🔬Design:Modeling & Simulation
📍Scope:2007 Verileri
⚙️Variables:Portföy optimizasyonu · faktör analizi · yurtiçi çeşitlendirme

Abstract

This paper applies the mean-variance, mean-VaR, and mean-CVaR portfolio optimization approach to investigate opportunities for domestic diversification from Turkey investors’ viewpoints. We explore diversification potential and investment opportunities at the industry level for the time period between 2007 and 2020. The study uses factor analysis to determine domestic diversification opportunities and measure the optimal weight of sectors in the market index. Results from factor analysis show that for investors who desire to create a domestic portfolio considerable diversification opportunities are available. Portfolio optimization analysis indicates that the wholesale, retail trade and transportation industries should be prioritized by the policymakers, as these industries earn the highest returns at a given risk level.

Özet

This paper explores diversification potential and investment opportunities at the industry level for Turkey for the time period between 2007 and 2020. This study uses the factor analysis to determine domestic diversification opportunities and the Markowitz's risk-return model to evaluate portfolio optimization and measure the optimal weight of sectors in the market index. Results show that the wholesale, retail trade and transportation industries should be prioritized by the policy makers, as these industries earn highest returns at a given risk level. Bu çalışma 2007 ve 2020 yılları arasında Türkiye’de sektör düzeyinde çeşitlendirme potansiyelini ve yatırım fırsatlarını incelemektedir. Bu çalışma, yurtiçi çeşitlendirme fırsatlarını belirlemek için faktör analizini ve portföy optimizasyonunu değerlendirmek ve piyasa endeksindeki sektörlerin optimum ağırlığını ölçmek için Markowitz’in risk-getiri modelini kullanmaktadır. Yazarlar toptan ve perakende ticaret, taşıma ve ulaşım sektörlerin siyasete yön verenler tarafından öncelik verilmesi gerektiğini ortaya koymaktadır. Bu sektörlerin belirli bir risk seviyesinde en yüksek getiriye sahip oldukları gözlemlenmektedir.

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Cite This Article

AZİMOVA, T. (2022). Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey. Yaşar Üniversitesi E-Dergisi, Cilt: 17 - Sayı: 65, 277–294. https://ajindex.com/articles/422129

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