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Portföy Optimizasyonunda Alt Kısmi Moment ve Yarı-Varyans Ölçütlerinin Kullanılması

Year 2010, Volume: 4 Issue: 1, 47 - 74, 01.06.2010

Güven Sayılgan Arma Değer Mut

Keywords

Portföy Optimizasyonu Alt Kısmi Moment Yarı-Varyans

References

  • Dreo, J., Petrowski, A., Siarry, P. ve Taillard, E. (2006). Metaheuristics for Hard Optimization. New York: Springer Berlin/Heidelberg.
  • Estrada, J. (2008). Mean-Semivariance Optimization: A Heuristic Approach. Jo- urnal of Applied Finance, Spring/Summer 2008, 57–72.
  • Fernández, A. ve Gómez, S. (2007). Portfolio selection using neural networks. Computers & Operations Research, 34(4), 1177–1191.
  • Fishburn, P. C. (1977). Mean-Risk Analysis with Risk Associated with Below-Tar- get Returns. The American Economic Review, 67(2), 116–126.
  • Friedman, M. ve Savage, L. P. (1948). The Utility Analysis of Choices involving Risk. Journal of Political Economy, 56(4), 279–304.
  • Gomes, F. J. (2005). Portfolio Choice and Trading Volume With Loss-Averse In- vestors. Journal of Business, 78(2), 675–706.
  • Grootveld, H. ve Hallerbach, W. (1999). Variance vs. downside risk: Is there re- ally that much difference?. European Journal of Operational Research, 114(2), 304–319.
  • Jarrow, R. ve Zhao, F. (2006). Downside Loss Aversion and Portfolio Manage- ment. Management Science, 52(4), 558?566.
  • Jensen, M. C., Black, F. ve Scholes, M. (1972). The Capital Asset Pricing Model: Some Empirical Tests. İçinde, Michael C. Jensen (Editör), Studies in the Theory of Capital Markets. New York: Praeger Publishers Inc.
  • Knight, F. H. (1921). Risk, Uncertainty, and Profit, Hart, Schaffner, and Marx Prize Essays, no. 31. Boston and New York: Houghton Mifflin.
  • Kraus, A. ve Litzenberger, R. H. (1976). Skewness Preference and the Valuati- on of Risk Assets. The Journal of Finance, 31(4), 1085–1100.
  • Lin, C. ve Liu, Y. (2008). Genetic Algorithms for Portfolio Selection Problems with Minimum Transaction Lots. European Journal of Operational Research, 185(1), 393–404.
  • Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91.
  • Markowitz, H. M. (1956). The Optimization of a Quadratic Function Subject to Linear Constraints. Naval Research Logistics Quarterly, 3(1-2), 111–133.
  • Markowitz, H. M. (1959). Portfolio Selection, Efficient Diversification of Invest- ment. New York: Yale University Press.
  • Markowitz, H. M. (1991). Foundations of Portfolio Theory. The Journal of Fi- nance, 46(2), 469–477.
  • Markowitz, H. M., Todd, P., Xu, G. ve Yamane, Y. (1993). Computation of me- an-semivariance efficient sets by the Critical Line Algorithm. Annals of Operati- ons Research, 45(1), 307–317.
  • Nawrocki, D. N. (1991). Optimal Algorithms And Lower Partial Moment: Ex- Post Results. Applied Economics, 23, 465–470.
  • Nawrocki, D. N. (1999). A Brief History of Downside Risk Measures. Journal of Investing, 8(3), 9–25.
  • von Neumann, J. ve Morgenstern, O. (1943). Theory of Games and Economic Behavior (Commemorative Edition) (Princeton Classic Editions). Princeton Uni- versity Press.
  • Pratt, J. W. (1964). Risk Aversion in the Small and in the Large. Econometrica, 32(1/2), 122–136.
  • Price, K., Price, B. ve Nantell, T. J. (1982). Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results. The Jour- nal of Finance, 37(3), 843–855.
  • Roy, A. D. (1952). Safety First and the Holding of Assets. Econometrica, 20(3)
  • Rudolph, G. (1994). Convergence Analysis of Canonical Genetic Algorithms. IEEE Transactions on Neural Networks, 5(1), 96–101.
  • Saha, A. (1993). Expo-power Utility: A Flexible Form for Absolute and Relative Risk Aversion. American Journal of Agricultural Economics, 75, 905–913.
  • Sharpe, W. F. (1994). The Sharpe Ratio, The Journal of Portfolio Management, 21(1), 49–58.
  • Sharpe, W. F., Alexander, G. J. ve Bailey, J. V. (1999). Investments. New York: Prentice Hall.
  • Sortino, F. A. ve Price, L. N. (1994). Performance Measurement in a Downside Risk Framework. The Journal of Investing, 3(3), 59–94.
  • Türk Dil Kurumu (TDK) web sitesi, Büyük Türkçe Sözlük, http://tdkte- rim.gov.tr/bts/ (Eriflim tarihi: 23.03.2009)

Abstract - Uses of Variance and Lower Partial Moment Measures for Portfolio Optimization

Year 2010, Volume: 4 Issue: 1, 47 - 74, 01.06.2010

Güven Sayılgan Arma Değer Mut

Keywords

Portfolio Optimization Lower Partial Moment Semivariance

References

  • Dreo, J., Petrowski, A., Siarry, P. ve Taillard, E. (2006). Metaheuristics for Hard Optimization. New York: Springer Berlin/Heidelberg.
  • Estrada, J. (2008). Mean-Semivariance Optimization: A Heuristic Approach. Jo- urnal of Applied Finance, Spring/Summer 2008, 57–72.
  • Fernández, A. ve Gómez, S. (2007). Portfolio selection using neural networks. Computers & Operations Research, 34(4), 1177–1191.
  • Fishburn, P. C. (1977). Mean-Risk Analysis with Risk Associated with Below-Tar- get Returns. The American Economic Review, 67(2), 116–126.
  • Friedman, M. ve Savage, L. P. (1948). The Utility Analysis of Choices involving Risk. Journal of Political Economy, 56(4), 279–304.
  • Gomes, F. J. (2005). Portfolio Choice and Trading Volume With Loss-Averse In- vestors. Journal of Business, 78(2), 675–706.
  • Grootveld, H. ve Hallerbach, W. (1999). Variance vs. downside risk: Is there re- ally that much difference?. European Journal of Operational Research, 114(2), 304–319.
  • Jarrow, R. ve Zhao, F. (2006). Downside Loss Aversion and Portfolio Manage- ment. Management Science, 52(4), 558?566.
  • Jensen, M. C., Black, F. ve Scholes, M. (1972). The Capital Asset Pricing Model: Some Empirical Tests. İçinde, Michael C. Jensen (Editör), Studies in the Theory of Capital Markets. New York: Praeger Publishers Inc.
  • Knight, F. H. (1921). Risk, Uncertainty, and Profit, Hart, Schaffner, and Marx Prize Essays, no. 31. Boston and New York: Houghton Mifflin.
  • Kraus, A. ve Litzenberger, R. H. (1976). Skewness Preference and the Valuati- on of Risk Assets. The Journal of Finance, 31(4), 1085–1100.
  • Lin, C. ve Liu, Y. (2008). Genetic Algorithms for Portfolio Selection Problems with Minimum Transaction Lots. European Journal of Operational Research, 185(1), 393–404.
  • Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91.
  • Markowitz, H. M. (1956). The Optimization of a Quadratic Function Subject to Linear Constraints. Naval Research Logistics Quarterly, 3(1-2), 111–133.
  • Markowitz, H. M. (1959). Portfolio Selection, Efficient Diversification of Invest- ment. New York: Yale University Press.
  • Markowitz, H. M. (1991). Foundations of Portfolio Theory. The Journal of Fi- nance, 46(2), 469–477.
  • Markowitz, H. M., Todd, P., Xu, G. ve Yamane, Y. (1993). Computation of me- an-semivariance efficient sets by the Critical Line Algorithm. Annals of Operati- ons Research, 45(1), 307–317.
  • Nawrocki, D. N. (1991). Optimal Algorithms And Lower Partial Moment: Ex- Post Results. Applied Economics, 23, 465–470.
  • Nawrocki, D. N. (1999). A Brief History of Downside Risk Measures. Journal of Investing, 8(3), 9–25.
  • von Neumann, J. ve Morgenstern, O. (1943). Theory of Games and Economic Behavior (Commemorative Edition) (Princeton Classic Editions). Princeton Uni- versity Press.
  • Pratt, J. W. (1964). Risk Aversion in the Small and in the Large. Econometrica, 32(1/2), 122–136.
  • Price, K., Price, B. ve Nantell, T. J. (1982). Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results. The Jour- nal of Finance, 37(3), 843–855.
  • Roy, A. D. (1952). Safety First and the Holding of Assets. Econometrica, 20(3)
  • Rudolph, G. (1994). Convergence Analysis of Canonical Genetic Algorithms. IEEE Transactions on Neural Networks, 5(1), 96–101.
  • Saha, A. (1993). Expo-power Utility: A Flexible Form for Absolute and Relative Risk Aversion. American Journal of Agricultural Economics, 75, 905–913.
  • Sharpe, W. F. (1994). The Sharpe Ratio, The Journal of Portfolio Management, 21(1), 49–58.
  • Sharpe, W. F., Alexander, G. J. ve Bailey, J. V. (1999). Investments. New York: Prentice Hall.
  • Sortino, F. A. ve Price, L. N. (1994). Performance Measurement in a Downside Risk Framework. The Journal of Investing, 3(3), 59–94.
  • Türk Dil Kurumu (TDK) web sitesi, Büyük Türkçe Sözlük, http://tdkte- rim.gov.tr/bts/ (Eriflim tarihi: 23.03.2009)
There are 29 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Güven Sayılgan This is me

Arma Değer Mut This is me

Publication Date June 1, 2010
Published in Issue Year 2010 Volume: 4 Issue: 1

Cite

APA Sayılgan, G., & Mut, A. D. (2010). Portföy Optimizasyonunda Alt Kısmi Moment ve Yarı-Varyans Ölçütlerinin Kullanılması. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 4(1), 47-74.