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Journals / Journal of Yasar University / 2022 / Cilt: 17 - Sayı: 65

Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey

Sektör Düzeyinde Portföy Çeşitlendirmesi ve Optimizasyonu, Türkiye Uygulaması

Tarana AZIMOVA
Pages
277–294
Publication Date
2022-10-19
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:Domain Parameters

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

Bu çalışma ortalama-varyans, ortalama-VaR ve ortalama-CVaR portföy optimizasyonu modellerini kullanarak Türkiye’de yatırımcıların yurtiçi çeşitlendirme fırsatlarını araştırmaktadır. Bu makalemizde 2007 ve 2020 yılları arasında Türkiye’de sektör düzeyinde çeşitlendirme potansiyelini ve yatırım fırsatlarını incelemektedir. Bu çalışma, yurtiçi çeşitlendirme fırsatlarını belirlemek için faktör analizini kullanmaktadır ve piyasa endeksindeki sektörlerin en uygun ağırlığını ölçmektedir. Faktör analizi sonuçları, yurt içi portföy oluşturmak isteyen yatırımcılar için önemli çeşitlendirme fırsatlarının mevcut olduğunu göstermektedir. 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

AZIMOVA, T. (2022). Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey. Journal of Yasar University, Cilt: 17 - Sayı: 65, 277–294. https://ajindex.com/articles/568816

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