The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.
📌 3 Maddede Bu Makale
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Amaç & Hipotez:Öz In order to identify the efficient set of portfolios in the Markowitz model, a huge quantity of data is required.
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Temel Bulgular & Veri:However, single index (or market, diagonal) model, developed by Sharpe, substantially reduces the number of data which are required for Markowitz model.
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Sonuç & Katkı:The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Anahtar Kelimeler Portföy yönetimi · Yatırım analizi · Matematiksel modeller
Özet
Öz In order to identify the efficient set of portfolios in the Markowitz model, a huge quantity of data is required. However, single index (or market, diagonal) model, developed by Sharpe, substantially reduces the number of data which are required for Markowitz model. The single index model assumes that the return of any stock could be related to the return of the market. The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.
ŞAKAR, S. Ü. (1999). ETKİN PORTFÖYLERİN OLUŞTURULMASINDA TEK ENDEKS MODELİ: İMKB'DE BİR UYGULAMA. Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 15 - Sayı: 1, 175–192. https://ajindex.com/articles/133879
Alexander Gordon J.-Sharpe William F., Fundamentals of Investments, Prentice Hali, 1989, s.198-199. Dobbins Richard-Witt Stephen-Fielding John, Portfolio Theory and Investment Management, Blackwell Business, 1994. Elton Edwin J.-Gruber Martin J.-Padberg Manfred W., "Simple Criteria For Optimal Portfolio Selection", The Journal of Finance, Vol.XXXI, No.5, December-197 6. Fabozzi Frank-Modigliani Franco, Capital Markets: Institutions and lnstruments, Prentice Hali, 1996, s.194. Farrell James L, Portfolio Management, Theory and Application, The McGraw- Hill, 1997.
Fischer Donald E.-Jordan Ronald J., Security Analysis and Portfolio Management, Prentice Hali, 1991.
Francis J ack Clark, Management of Investments, McGraw-Hill, 1993.