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Dergiler / Süleyman Demirel Üniversitesi Vizyoner Dergisi / 2026 / Cilt: 17 Sayı: 51

Portföy Optimizasyonunda Ortalama Varyans ve Tek Endeks Modellerinin Etkinliği Üzerine Bir Meta-Analizi

A Meta-Analysis of the Effectiveness of Mean-Variance and Single-Index Models in Portfolio Optimization

Kıymet Yavuzaslan(AYDIN ADNAN MENDERES UNIVERSITY)0000-0002-3016-3084
Nazmiye Çabak(AYDIN ADNAN MENDERES UNIVERSITY)0009-0006-9289-5746
Gökhan Aksu(AYDIN ADNAN MENDERES UNIVERSITY)0000-0003-2563-6112
Sayfa
797–816
Yayın Tarihi
2026-08-30
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Bu makale, yatırımlar arasındaki finansal heterojenliğin portföy optimizasyonu çerçevelerine entegre edilmesinin önemini ortaya koymaktadır.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Ortalama-Varyans (MV) Modeli ve Tek Endeks (SI) Modeli, finansal portföy yönetiminde önemli rol oynayan temel teorilerdir ve çok sayıda çalışma bu modelleri risk ve getiri tahmin performansları açısından karşılaştırmaktadır.
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Temel Bulgular & Veri:İlk çalışmalardaki çelişkili sonuçlar nedeniyle, hem MV modeli aracılığıyla Markowitz Portföy Teorisi hem de Sharpe (1964) tarafından tanıtılan SI modelinin portföy optimizasyonu için etkili olduğu düşünülmektedir.
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Sonuç & Katkı:Bu makale, yatırımlar arasındaki finansal heterojenliğin portföy optimizasyonu çerçevelerine entegre edilmesinin önemini ortaya koymaktadır.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Portföy Optimizasyonu · Markowitz Portföy Teorisi · Tek-Endeks Modeli

Özet

Ortalama-Varyans (MV) Modeli ve Tek Endeks (SI) Modeli, finansal portföy yönetiminde önemli rol oynayan temel teorilerdir ve çok sayıda çalışma bu modelleri risk ve getiri tahmin performansları açısından karşılaştırmaktadır. İlk çalışmalardaki çelişkili sonuçlar nedeniyle, hem MV modeli aracılığıyla Markowitz Portföy Teorisi hem de Sharpe (1964) tarafından tanıtılan SI modelinin portföy optimizasyonu için etkili olduğu düşünülmektedir. Bu çalışma, Meta-Analiz kullanarak MV Modeli ve SI) karşılaştırmayı amaçlamaktadır. MV ve SI modellerinin portföy optimizasyonu karşılaştırmalarını inceleyen 48 çalışma üzerinde yapılan portföy optimizasyonu analizinin tüm çalışmalarına dayanarak genel bir sonuca ulaşmak ve hangi modelin daha yararlı olduğunu araştırmak için meta-analiz yöntemini kullandık. Ampirik sonuçlar, MV ve SI modellerini karşılaştırmak için bir neden olmadığını doğrulamaktadır. Bu makale, yatırımlar arasındaki finansal heterojenliğin portföy optimizasyonu çerçevelerine entegre edilmesinin önemini ortaya koymaktadır.

Abstract

The Mean-Variance (MV) Model and the Single-Index (SI) Model are core theories that play a significant role in financial portfolio management, with numerous studies contrasting these models in terms of their risk and return estimation performance. Due to conflicting conclusions in primary studies, both the Markowitz Portfolio Theory via the MV model and the SI model introduced by Sharpe (1964) are considered effective for portfolio optimization. The study aims to compare the MV Model and the SI by using Meta-Analysis. The meta-analysis method is used to reach an overall conclusion and to investigate which model is more useful based on all the studies of portfolio optimization analysis conducted on 48 studies examining portfolio optimization comparisons of the MV and the SI models. The empirical results confirm that there is no reason to compare the MV and SI models. The study provides the significance of integrating financial heterogeneity among investments into portfolio optimization frameworks.

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Bu Makaleye Atıf Yap

Yavuzaslan, K., Çabak, N., Aksu, G. (2026). Portföy Optimizasyonunda Ortalama Varyans ve Tek Endeks Modellerinin Etkinliği Üzerine Bir Meta-Analizi. Süleyman Demirel Üniversitesi Vizyoner Dergisi, Cilt: 17 Sayı: 51, 797–816. https://doi.org/10.21076/vizyoner.1819081

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