ISLAMIC ALGORITHMIC EQUITY PORTFOLIO

Ahmet Gökbel; Halil Arslan

ISLAMIC ALGORITHMIC EQUITY PORTFOLIO

Öz

In the middle of century, while Markowitz and Fama developed modern portfolio strategies based solely on mathematical concept, it was criticized that modern theory was focused on ideal case rather than real case. Despite the low return, there are investors who invest in higher risk instruments due to their dependence on risk. Though behavioral finance emerged as a reaction to modern portfolio theory in this period, it is a matter of criticism that it defines investors as fully prone to irrationality. The development of technology, the increase in investment options, the fact that time is a vital resource and artificial intelligence technologies emphasize digital banking and algorithmic portfolio strategies. The Islamic algorithmic model portfolio, of which we have defined criteria, was published and indexed as KATMP code by Borsa İstanbul in July 2014 rather than being a theory. It is seen that the Islamic algorithmic model portfolio has overperformed both BIST100 index and other participation indices as yield performance in the last 4 years average. The model also has outperformed the so-called indexes in the Sharpe ratio. The Islamic algorithmic model portfolio is a serious candidate for the establishment of the Exchange Traded Fund with a structure that provides a better return and risk balance for passively managed general indices for portfolio managers. In addition, factors such as conservative management strategies, avoidance of complex and leveraged products and a more accurate approach in investment feasibility of KATMP companies should be taken into consideration in the success by the other companies.

Anahtar Kelimeler

algorithmic trading,portfolio strategies,Islamic Portfolios,Participation Indexes

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Details

Primary Language

English

Subjects

Economics

Journal Section

Research Article

Authors

Ahmet Gökbel This is me
Türkiye

Halil Arslan This is me
Türkiye

Publication Date

December 27, 2019

Submission Date

August 20, 2019

Acceptance Date

December 27, 2019

Published in Issue

Year 2019 Volume: 3 Number: 2

IZ

https://izlik.org/JA34RH69UU

Cite

RIS / Bibtex

APA

Gökbel, A., & Arslan, H. (2019). ISLAMIC ALGORITHMIC EQUITY PORTFOLIO. Ahi Evran Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 3(2), 7-24. https://izlik.org/JA34RH69UU

AMA

1.Gökbel A, Arslan H. ISLAMIC ALGORITHMIC EQUITY PORTFOLIO. the PEAJ. 2019;3(2):7-24. https://izlik.org/JA34RH69UU

Chicago

Gökbel, Ahmet, and Halil Arslan. 2019. “ISLAMIC ALGORITHMIC EQUITY PORTFOLIO”. Ahi Evran Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 3 (2): 7-24. https://izlik.org/JA34RH69UU.

EndNote

Gökbel A, Arslan H (December 1, 2019) ISLAMIC ALGORITHMIC EQUITY PORTFOLIO. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 3 2 7–24.

IEEE

[1]A. Gökbel and H. Arslan, “ISLAMIC ALGORITHMIC EQUITY PORTFOLIO”, the PEAJ, vol. 3, no. 2, pp. 7–24, Dec. 2019, [Online]. Available: https://izlik.org/JA34RH69UU

ISNAD

Gökbel, Ahmet - Arslan, Halil. “ISLAMIC ALGORITHMIC EQUITY PORTFOLIO”. Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 3/2 (December 1, 2019): 7-24. https://izlik.org/JA34RH69UU.

JAMA

1.Gökbel A, Arslan H. ISLAMIC ALGORITHMIC EQUITY PORTFOLIO. the PEAJ. 2019;3:7–24.

MLA

Gökbel, Ahmet, and Halil Arslan. “ISLAMIC ALGORITHMIC EQUITY PORTFOLIO”. Ahi Evran Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 3, no. 2, Dec. 2019, pp. 7-24, https://izlik.org/JA34RH69UU.

Vancouver

1.Ahmet Gökbel, Halil Arslan. ISLAMIC ALGORITHMIC EQUITY PORTFOLIO. the PEAJ [Internet]. 2019 Dec. 1;3(2):7-24. Available from: https://izlik.org/JA34RH69UU