BIST 30 ENDEKSİNDE PORTFÖY SEÇİMİ İÇİN YENİ BİR KISMİ HEDEF PROGRAMLAMA YAKLAŞIMI

Yıl 2018, Cilt: 7 Sayı: 13, 119 - 134, 28.01.2018

Mehmet Aksaraylı Osman Pala

Öz

Finansal portföy
seçim problemi her zaman yatırımcılar ve finansal kurumlar için çözülmesi zor
ve önemli bir konudur. Portföy seçimi sorununun özü, belirli kriterler
çerçevesinde optimum portföy bileşimi elde etmektir. Kriterler ve kriterlere
ait önem dereceleri yatırımcıların bakış açısına göre değişebilmekteyken,
portföyün temel değerlendirme unsuru, getiri ve risk unsurlarından
oluşmaktadır. Modern portföy teorisine göre sırasıyla portföy ortalama ve
varyansı bu faktörleri karşılamaktadır. Markowitz, portföy seçiminde, hisse
senedi getiri serilerinin normal olarak dağıldığı ve karar vericilerin fayda
fonksiyonlarının karesel olduğu varsayımına dayanan bir ortalama varyans modeli
önermiştir. İlgili varsayımların geçerli olmadığı ve hisse senetlerinin
çarpıklık ve basıklık değerlerinin anlamlı olduğu pazarlarda yapılan
araştırmalar literatürde yaygın olarak görülmektedir.  Ortalama varyans modeline yüksek momentler ve
entropi fonksiyonlarının eklenmesi ile portföy seçim sürecine daha fazla
dağılım bilgisi ve çeşitlilik katılabilmektedir. BIST-30 Endeksi portföy seçim
probleminde, Polinomsal Hedef Programlama modeli ve önerilen Kısmi Hedef
Programlama yaklaşımı, ortalama varyans çarpıklık basıklık entropi fonksiyonlarını
barındıran portföy seçim sürecinde test edilmiştir. Önerilen modelin gerçek
performansı ölçülmüş ve etkin portföy oluşturma açısından iyi sonuçlar verdiği
gözlemlenmiştir.

Anahtar Kelimeler

portföy optimizasyonu, çarpıklık, basıklık, entropi, hedef programlama

Kaynakça

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