Abstract
Menkul kıymetlerin diğer yatırım araçlarına göre daha yüksek getiriler sağlaması bunlar üzerine ilginin artmasına neden olmuştur. Günümüzde hem atıl olan fonların ekonomiye akmasının sağlanması hem de küçük tasarruf sahiplerinin tasarruflarını değerlendirmesine imkân vermesi nedeniyle menkul kıymet yatırımlarının pek çok kişinin ilgi alanı olmasını sağlamıştır. Özellikle değişken getirili menkul kıymet yatırımları riskli yatırımlardır ve bu riski dağıtmanın (azaltmanın) en uygun yolu menkul kıymetlerin çeşitlendirilmesi yani portföy oluşturulmasıdır. Hedef programlaması menkul kıymetlere yatırım yapacak olan yatırımcının oluşturmak istediği portföy seçiminde sağlamak istediği birden çok amacı (isteği) mümkün olduğunca sağlamaya imkan veren bir yöntemdir. Bu çalışmada, İMKB 100 Endeksinde bulunan şirketler üzerinde çok amaçlı hedef programlama yöntemi kullanılarak portföy seçim modelinin uygulamaları yapılmıştır. Çalışmada İMKB 100 endeksi içinden seçilen hisse senetlerinin sistematik riskleri (Beta katsayıları) ve beklenen getirileri hesaplanmış ve yatırımcının karını en çoklayacağı bir hedef programlaması modeli geliştirilmiştir.
Keywords
Portföy Seçimi Sermaye Piyasaları İMKB 100 Portföy Optimizasyonu Çok Amaçlı Hedef Programlama
References
- ATAN, M., BOZTOSUN. D., “Hedef Programlaması İle Türkiye Bankacılık Sektöründe Finansal Planlama Uygulaması”, Kooperatifçilik Dergisi, Sayı 145, Sayfa : 77 - 93. Ankara. Temmuz - Ağustos - Eylül 2004.
- BRENNAN, M.J.,(1971), “Capital Market Equilibrium With Divergent Borrowing And Lending Rates”, Journal Of Financial and Quantitative Analysis.
- GRAHAM, Benjamin And DODD, David L., (1934), “Security Analysis: Principles And Technique” (McGraw-Hill, Columbus, OH)
- HARRINGTON, Diana, (1983), “Modern Portfolio Theory And The Capital Asset Pricing Model” A User‟s Guide, Prentice-Hall, Inc.,Englewood Cliffs, New Jersey.
- IGNIZO, J.P., (1976), “Goal Programming And Extensions”, Lexington Books Co., London.
- JORION, Philippe, (1992), “Portfolio Optimization In Practice”, Financial Analysts Journal, January-February.
- KONGAR, E. And GUPTA, S. M., (2000), “A Multi-Criteria Model For Remanufacturing”, Proceedings Of The Third International Conference On Operations and Quantitative Management, Page : 290 - 297.
- LEVY, H.,(1983), “The Capital Asset Pricing Model: Theory And Empiricism”, The Economic Journal, Vol: 93.
- LINTNER, John,(1965), “Security Prices, Risk And Maximal Gains From Diversification”, Journal Of Finance Vol : 20, No: 4, December.
- MARKOWITZ, Harry, (1952),” Portfolio Selection”, The Journal of Finance, Vol: 7, No: 1, March
- MARKOWITZ, Harry, (1959), “Portfolio Selection, Efficient Diversification of Investment”, Yale University Pres.
- ÖZDEMİR, Erhan, TURAN, Gökhan, (2003), “Birleşik Amaç Fonksiyonlu Portföy Seçimi Modelinin İMKB-30 Endeksine Uygulanması”, ww w.ufu k. edu.t r / kut u pweb/ bor sa
- PEROLD F. Andre, (1984), “Large-Scale Portfolio Optimization”, Management Science, Vol:30, No:10, October.
- RICHARD, C.G., (1999), “Mean-Variance And Scnario-Based Approaches To Portfolio Selection”, The Journal Of Portfolio Management, Vol:25, No:2, Winter.
- ROLL, Richard, (1977), “A Critique Of The Asset Pricing Theory‟s Test: Part I On Past And Potential Testability Of The Theory”, Journal of Financial Economics, Vol:4, No:2, March.
- ROSS, Stephan, (1976), “The Arbitrage Theory Of Capital Asset Pricing”, Journal of Economic Theory Vol:13, No:3.
- ROY, A.D.,(1952), “Safety First And The Holding of Assets”, Econometrica 20.
- RUBINSTEIN, Mark, (2002), “Markowitz‟s „Portfolio Selection‟:A Fifty-Year Reprospective”, The Journal Of Finance, Vol.LVII, No.3, June.
- SHARPE, F. William, (1964), “Capital Asset Prices, A Theory of Market, Equilibrium Under Conditions Of Risk”, The Journal of Finance, Vol: 19, No:3, September.
- TİMOR, Mehpare, (2002), “Yöneylem Araştırması ve İşletmecilik Uygulamaları”, İstanbul Üniversitesi Yayınları, İstanbul.
- TOBIN, James, (1958), “Liquidity Preference As Behavior Towards Risk”, Review of Economic Studies Vol : 26, No:1, February.
- TURNBULL, S.M., (1977), “Market Imperpections And The Capital Asset Pricing Model”, Journal of Business Finance & Accounting, Vol:4,3.
- ULUCAN, Aydın, (2002), “Markowitz Kuadratik Programlama İle Portföy Seçim Modelinin, Sermaye Piyasasında Endeks İle Aynı Risk-Getiri Yapısına Sahip Portföyün Elde Edilmesinde Kullanımı”, Hacettepe Üniversitesi İ.İ.B.F. Dergisi, Cilt 20, Sayı 2.
- WILLIAMS, John Burr, (1938), “The Theory Of Investment Value” (North Holland Publishing, Amsterdam); Reprinted 1997 (Fraser Publishing, Burlington,VT).
Abstract
The fact that financial assets earn higher returns than other investment instruments has caused an increased interest on these types of assets. Due to the fact that financial assets enable idle funds to flow into the economy and that this kind of investments provide small savers opportunities for their savings, investments on financial assets have become a great interest of many people. Financial assets presenting varying returns are risky investments and the best way of reducing this risk is the diversification of financial assets (i.e. forming a portfolio). Goal programming is a method which enables the realization of multiple objectives in the choice of portfolio that an investor, planning to invest in financial asset, wishes to form. In this paper, the applications of portfolio choice model have been carried out by using multi-objective goal programming method for the companies in Istanbul Stock Exchange (ISE) 100 Index. The systematic risks (Beta coefficients) and expected returns of some stocks selected from ISE 100 index are calculated. Furthermore, a goal programming model that an investor can maximize his/her profit is developed.
Keywords
Portfolio Selection Capital Markets ISE 100 Index Portfolio Optimization Multi Objective Goal Programming
References
- ATAN, M., BOZTOSUN. D., “Hedef Programlaması İle Türkiye Bankacılık Sektöründe Finansal Planlama Uygulaması”, Kooperatifçilik Dergisi, Sayı 145, Sayfa : 77 - 93. Ankara. Temmuz - Ağustos - Eylül 2004.
- BRENNAN, M.J.,(1971), “Capital Market Equilibrium With Divergent Borrowing And Lending Rates”, Journal Of Financial and Quantitative Analysis.
- GRAHAM, Benjamin And DODD, David L., (1934), “Security Analysis: Principles And Technique” (McGraw-Hill, Columbus, OH)
- HARRINGTON, Diana, (1983), “Modern Portfolio Theory And The Capital Asset Pricing Model” A User‟s Guide, Prentice-Hall, Inc.,Englewood Cliffs, New Jersey.
- IGNIZO, J.P., (1976), “Goal Programming And Extensions”, Lexington Books Co., London.
- JORION, Philippe, (1992), “Portfolio Optimization In Practice”, Financial Analysts Journal, January-February.
- KONGAR, E. And GUPTA, S. M., (2000), “A Multi-Criteria Model For Remanufacturing”, Proceedings Of The Third International Conference On Operations and Quantitative Management, Page : 290 - 297.
- LEVY, H.,(1983), “The Capital Asset Pricing Model: Theory And Empiricism”, The Economic Journal, Vol: 93.
- LINTNER, John,(1965), “Security Prices, Risk And Maximal Gains From Diversification”, Journal Of Finance Vol : 20, No: 4, December.
- MARKOWITZ, Harry, (1952),” Portfolio Selection”, The Journal of Finance, Vol: 7, No: 1, March
- MARKOWITZ, Harry, (1959), “Portfolio Selection, Efficient Diversification of Investment”, Yale University Pres.
- ÖZDEMİR, Erhan, TURAN, Gökhan, (2003), “Birleşik Amaç Fonksiyonlu Portföy Seçimi Modelinin İMKB-30 Endeksine Uygulanması”, ww w.ufu k. edu.t r / kut u pweb/ bor sa
- PEROLD F. Andre, (1984), “Large-Scale Portfolio Optimization”, Management Science, Vol:30, No:10, October.
- RICHARD, C.G., (1999), “Mean-Variance And Scnario-Based Approaches To Portfolio Selection”, The Journal Of Portfolio Management, Vol:25, No:2, Winter.
- ROLL, Richard, (1977), “A Critique Of The Asset Pricing Theory‟s Test: Part I On Past And Potential Testability Of The Theory”, Journal of Financial Economics, Vol:4, No:2, March.
- ROSS, Stephan, (1976), “The Arbitrage Theory Of Capital Asset Pricing”, Journal of Economic Theory Vol:13, No:3.
- ROY, A.D.,(1952), “Safety First And The Holding of Assets”, Econometrica 20.
- RUBINSTEIN, Mark, (2002), “Markowitz‟s „Portfolio Selection‟:A Fifty-Year Reprospective”, The Journal Of Finance, Vol.LVII, No.3, June.
- SHARPE, F. William, (1964), “Capital Asset Prices, A Theory of Market, Equilibrium Under Conditions Of Risk”, The Journal of Finance, Vol: 19, No:3, September.
- TİMOR, Mehpare, (2002), “Yöneylem Araştırması ve İşletmecilik Uygulamaları”, İstanbul Üniversitesi Yayınları, İstanbul.
- TOBIN, James, (1958), “Liquidity Preference As Behavior Towards Risk”, Review of Economic Studies Vol : 26, No:1, February.
- TURNBULL, S.M., (1977), “Market Imperpections And The Capital Asset Pricing Model”, Journal of Business Finance & Accounting, Vol:4,3.
- ULUCAN, Aydın, (2002), “Markowitz Kuadratik Programlama İle Portföy Seçim Modelinin, Sermaye Piyasasında Endeks İle Aynı Risk-Getiri Yapısına Sahip Portföyün Elde Edilmesinde Kullanımı”, Hacettepe Üniversitesi İ.İ.B.F. Dergisi, Cilt 20, Sayı 2.
- WILLIAMS, John Burr, (1938), “The Theory Of Investment Value” (North Holland Publishing, Amsterdam); Reprinted 1997 (Fraser Publishing, Burlington,VT).
Details
| Other ID | JA44BJ78GS |
|---|---|
| Journal Section | Review Article |
| Authors | |
| Publication Date | January 31, 2010 |
| Published in Issue | Year 2010Volume: 2 Issue: 1 |
