Abstract
Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index.
Method: In the study, using the return data obtained from the adjusted weighted average price data of securities in the BIST-100, variance and covariance matrices were constracted to generate optimal portfolios, and the returns of two different portfolios were calculated and compared.
Findings: The findings of the study indicate that, despite securities within the BIST-100 Index generally yielding negative returns during the 2018-2019 period, portfolios constructed based on semi-variance protected investors from the risk of negative returns. It was observed that as the levels of risk tolerance increased, the returns of portfolios also increased.
Conclusions: It has been concluded that portfolios created according to semi-variance offer better protection for investors with low risk tolerance against the risk of unexpected negative returns.
Ethical Statement
"Portfolio Optimization with Semi-Variance Model: An Application on BIST-100 Index" titled research article, prepared by summarizing from Serdar Ramazan Kahraman's master's thesis, utilized all data freely obtained from Borsa İstanbul's publicly available data platform without any payment. These data were subsequently classified by us and applied to the model. Furthermore, the study was conducted without resorting to any practices that would contradict scientific ethics and traditions, and all utilized works are listed in the references section, duly cited through attribution. I acknowledge and accept all future legal responsibilities that may arise concerning these matters.
Supporting Institution
There is no supporting institution for this study.
Thanks
No individual or institution to be acknowledged for their contribution.
References
- Akyer, H., Kalaycı, C. B. and Aygören, H. (2018). Ortalama-varyans portföy optimizasyonu için parçacık sürü optimizasyonu algoritması: bir borsa istanbul uygulaması, Pamukkale Üniversitesi Mühendislik Bilimleri Dergisi, 24(1), 124-129.
- Boda, M. and Kanderova, M. (2018). What is the true effect of rebalancing – a higher return or a lower risk? Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 66(6), 1417.
- Braga, M. D. (2016). Risk-based approaches to asset allocation concepts and practical applications, Springer Briefs in Finance, 17-41.
- Campbell, J. Y. and Ludger H. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31(3), 281-318.
- Ceylan, A. and Korkmaz, T. (1998). Borsada uygulamalı portföy yönetimi. Ekin Kitabevi, Bursa.
- Fama, E. F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105.
- Fishburn, P. C. (1977). Mean-risk analysis with risk associated with below- target returns. American Economic Review, 67, 116-126.
- Focardi, S. M. and Fabozzi, F. J. (2004). The mathematics of financial modeling and investment management, John Wiley & Sons, Inc., 9-10, http://www.simardartizanfarm.ca/pdf/FRANK-J.-FABOZZI---The-Mathematics- Of-Financial-Modeling-And-Investment-Management.pdf. Reached on 15.02.2019.
- Gelir İdaresi Başkanlığı (2015). 2015 Gelir Vergisi Tarifesi. https://www.gib.gov.tr/yardim-ve-kaynaklar/yararli-bilgiler/gelir-vergisi-tarifesi- 2015. Reached on 04.05.2018.
- Gurrib, I. and Alshahrani, S. (2012). International Journal of Trade. Economics and Finance, 3(6), 445. Halıcı, B. (2008). Portföy seçim problemi üzerine karşılaştırmalı alternatif yaklaşımlar (Unpublished master thesis). Gazi University.
- Harvey, C. R. and Siddique, A. (2000). Conditional skewness in asset pricing tests, The Journal of Finance, LV(3), 1263-1295.
- Korkmaz, T., Aydın, N. and Sayılgan, G. (2013). Portföy yönetimi. Anadolu Üniversitesi.
- Kraus, A. and Litzenberger, R. H. (1976). Skewness preference and the valuation of risk. Assets Journal of Finance, 31(4), 1085-1100.
- Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, 36(4), 394-419.
- Mao, J. C. T. (1970). Models of capital budgeting, e–v versus e–s. J. Financial Quantit. Anal. 5, 657–676.
- Markowitz, H.M. (1959). Portfolio selection: efficient diversification of investments. Wiley, 188-205.
- Markowitz, H.M. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
- Mut, A. D. (2009). Alt kısmi moment ve yarı varyans risk modelleri kullanarak genetik algoritma yardımıyla portföy optimizasyonu: imkb uygulaması (Unpublished master thesis). Ankara University.
- Nawrocki, D. (1999). A brief history of downside risk measures, Journal of Investing 8, 9- 25.
- Quirk, J. P. and Saposnik, R. (1962). Admissibility and measurable utility functions, Review of Economic Studies, 29(2), 140-146.
- Roy, A. D. (1952). Safety first and the holding of assets, Econometrica, 20(3), 431-449.
- Rubinstein, M. E. (1973). A mean-variance synthesis of corporate financial theory. The Journal of Finance, 28(1), 167-181.
- Schneeweis, T., Crowder, G. B. and Kazemi, H. (2010). The new science of asset allocation: risk management in a multi-asset world, John Wiley & Sons, 30.
- Tax Foundation, (2014). 2015 Tax Brackets, https://taxfoundation.org/irs-releases- 2015-tax-brackets/, Reached on 04.05.2018.
- Turner, A. L. and Weigel, E. J. (1992). Daily stock market volatility: 1928-1989. Management Science 38, 1586–1609.
- Ulucan, A. (2007). Yöneylem araştırması, Siyasal Kitabevi.
- Yayalar, N. (2016). Portföy seçiminde portföy performans ölçütlerinin başarı değerlendirmesi (Unpublished master thesis). Bülent Ecevit University.
Abstract
Aim: Araştırmanın amacı, varyans ve yarı varyansa göre oluşturulacak portföylerin performanslarını, BIST-100 Endeksi’nden elde edilen verileri kullanarak karşılaştırmaktır.
Yöntem: Çalışmada, BIST-100'de yer alan menkul kıymetlerin düzeltilmiş ağırlıklı ortalama fiyat verileri kullanılarak elde edilen getiri verileri yardımıyla varyans ve kovaryans matrisleri oluşturularak optimal portföyler elde edilmiş ve iki farklı portföyün getirileri hesaplanarak karşılaştırılmıştır.
Bulgular: Araştırmanın bulguları, 2018 - 2019 döneminde BIST - 100 endeksinde yer alan menkul kıymetler genel olarak negatif getiri sağlamasına rağmen, yarı varyansa göre oluşturulan portföylerin yatırımcıyı negatif getiri riskinden koruduğunu göstermektedir. Risk toleransı düzeyleri arttıkça portföylerin getirilerinin de arttığı gözlenmiştir.
Sonuç: Yarı varyansa göre oluşturulan portföylerin, düşük risk toleranslarında yatırımcıyı beklenmedik negatif getiri riskinden daha iyi koruduğu sonucuna ulaşılmıştır.
Ethical Statement
Serdar Ramazan Kahraman’ın yüksek lisans tezinden özetleyerek hazırlamış olduğumuz “Portfolio Optimization with Semi-Variance Model: An Application on BIST-100 Index” başlıklı araştırma makalesinde kullanılan tüm veriler, Borsa İstanbul’un halka açık veri platformundan herhangi bir ücret ödenmeden alınmıştır. Bu veriler daha sonra tarafımızca tasnif edilmiş ve model uygulaması yapılmıştır. Ayrıca çalışma, bilimsel ahlak ve geleneklere aykırı düşecek bir yardıma başvurulmaksızın yazılmış ve yararlanılan tüm eserler kaynakçada gösterilmiş olup, bunlara atıf yapılarak kullanılmıştır. Bu konular ile ilgili olarak ileride doğabilecek tüm hukuki sorumlulukları üstlendiğimi kabul ederim. Dr. Öğr. Üyesi Kartal Somuncu
Supporting Institution
Destekleyen herhangi bir kurum bulunmamaktadır.
Thanks
Teşekkür edilecek herhangi bir kişi ya da kurum bulunmamaktadır.
References
- Akyer, H., Kalaycı, C. B. and Aygören, H. (2018). Ortalama-varyans portföy optimizasyonu için parçacık sürü optimizasyonu algoritması: bir borsa istanbul uygulaması, Pamukkale Üniversitesi Mühendislik Bilimleri Dergisi, 24(1), 124-129.
- Boda, M. and Kanderova, M. (2018). What is the true effect of rebalancing – a higher return or a lower risk? Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 66(6), 1417.
- Braga, M. D. (2016). Risk-based approaches to asset allocation concepts and practical applications, Springer Briefs in Finance, 17-41.
- Campbell, J. Y. and Ludger H. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31(3), 281-318.
- Ceylan, A. and Korkmaz, T. (1998). Borsada uygulamalı portföy yönetimi. Ekin Kitabevi, Bursa.
- Fama, E. F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105.
- Fishburn, P. C. (1977). Mean-risk analysis with risk associated with below- target returns. American Economic Review, 67, 116-126.
- Focardi, S. M. and Fabozzi, F. J. (2004). The mathematics of financial modeling and investment management, John Wiley & Sons, Inc., 9-10, http://www.simardartizanfarm.ca/pdf/FRANK-J.-FABOZZI---The-Mathematics- Of-Financial-Modeling-And-Investment-Management.pdf. Reached on 15.02.2019.
- Gelir İdaresi Başkanlığı (2015). 2015 Gelir Vergisi Tarifesi. https://www.gib.gov.tr/yardim-ve-kaynaklar/yararli-bilgiler/gelir-vergisi-tarifesi- 2015. Reached on 04.05.2018.
- Gurrib, I. and Alshahrani, S. (2012). International Journal of Trade. Economics and Finance, 3(6), 445. Halıcı, B. (2008). Portföy seçim problemi üzerine karşılaştırmalı alternatif yaklaşımlar (Unpublished master thesis). Gazi University.
- Harvey, C. R. and Siddique, A. (2000). Conditional skewness in asset pricing tests, The Journal of Finance, LV(3), 1263-1295.
- Korkmaz, T., Aydın, N. and Sayılgan, G. (2013). Portföy yönetimi. Anadolu Üniversitesi.
- Kraus, A. and Litzenberger, R. H. (1976). Skewness preference and the valuation of risk. Assets Journal of Finance, 31(4), 1085-1100.
- Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, 36(4), 394-419.
- Mao, J. C. T. (1970). Models of capital budgeting, e–v versus e–s. J. Financial Quantit. Anal. 5, 657–676.
- Markowitz, H.M. (1959). Portfolio selection: efficient diversification of investments. Wiley, 188-205.
- Markowitz, H.M. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
- Mut, A. D. (2009). Alt kısmi moment ve yarı varyans risk modelleri kullanarak genetik algoritma yardımıyla portföy optimizasyonu: imkb uygulaması (Unpublished master thesis). Ankara University.
- Nawrocki, D. (1999). A brief history of downside risk measures, Journal of Investing 8, 9- 25.
- Quirk, J. P. and Saposnik, R. (1962). Admissibility and measurable utility functions, Review of Economic Studies, 29(2), 140-146.
- Roy, A. D. (1952). Safety first and the holding of assets, Econometrica, 20(3), 431-449.
- Rubinstein, M. E. (1973). A mean-variance synthesis of corporate financial theory. The Journal of Finance, 28(1), 167-181.
- Schneeweis, T., Crowder, G. B. and Kazemi, H. (2010). The new science of asset allocation: risk management in a multi-asset world, John Wiley & Sons, 30.
- Tax Foundation, (2014). 2015 Tax Brackets, https://taxfoundation.org/irs-releases- 2015-tax-brackets/, Reached on 04.05.2018.
- Turner, A. L. and Weigel, E. J. (1992). Daily stock market volatility: 1928-1989. Management Science 38, 1586–1609.
- Ulucan, A. (2007). Yöneylem araştırması, Siyasal Kitabevi.
- Yayalar, N. (2016). Portföy seçiminde portföy performans ölçütlerinin başarı değerlendirmesi (Unpublished master thesis). Bülent Ecevit University.
Details
| Primary Language | English |
|---|---|
| Subjects | Finance |
| Journal Section | Original Articles |
| Authors | |
| Early Pub Date | December 28, 2023 |
| Publication Date | December 30, 2023 |
| Submission Date | October 28, 2023 |
| Acceptance Date | December 25, 2023 |
| Published in Issue | Year 2023 Volume: 11 Issue: 3 |
This journal is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.