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PORTFÖYLERİN VZA’NIN ÖNERİLERİ DOĞRULTUSUNDA ETKİNLEŞTİRMESİNE YÖNELİK BİR UYGULAMA

Year 2016, Sayı 24 (2016), 109 - 131, 29.04.2016

Leyla İşbilen Yücel

Abstract

Bu çalışma, portföylerin etkinliklerinin Veri Zarflama Analizi (VZA) ile ölçülmesine dair yeni bir yaklaşım sunmaktadır. Portföyler, yatırım dönemi sonunda (t=1’de) yatırımcısına getiri sağlamakla görevli birer üretim birimi olarak kabul edilmektedirler. Yatırım fonlarını portföy olarak ele alarak bunların performanslarını ölçmeye dayanan geleneksel çalışmalardan farklı olarak, gerçek verilerle, sıfırdan oluşturulmuş olan portföyler bu çalışmaya konu olmuştur. Portföylerin Veri Zarflama Analizi ile ölçülmesinde kullanılan girdiler ve çıktılar, Markowitz’in Modern Portföy Teorisi’nden faydalanılarak elde edilmişlerdir. Çalışmanın sonunda, etkinlik kavramının, portföylerin dönem sonu getirileri üzerinde herhangi bir artış sağlayıp sağlamadığı incelenmiştir.

Keywords

Veri Zarflama analizi Portföylerin etkinliği Portföy seçimi

References

  • Altay, E., Sermaye Piyasası’nda Varlık Fiyatlama Teorileri: Sermaye Piyasası Teorisi ve Arbitraj Fiyatlama Teorisi, Derin Yayınları, 2004
  • Bernstein, P. L., Damodaran, A., Investment Management, Wiley Frontiers in Finance, 1998, ISBN:0-471-19715-7

AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA

Year 2016, Sayı 24 (2016), 109 - 131, 29.04.2016

Leyla İşbilen Yücel

Abstract

This paper presents an innovative approach about measuring the efficiency of portfolios with Data Envelopment
Analysis (DEA). Portfolios are accepted as production units which are assigned to provide return to their
investors at the end of the investment period, t=1. Unlike the common sense regarding funds as portfolios and
measuring their performances, in this paper the portfolios which are developed from the rough were handled.
The efficiency of portfolios were measured with Data Envelopment Analysis by using the set of inputs and
outputs which were derived from Markowitz’s Modern Portfolio Theory. Finally, the effects of efficiency
concept on realized returns of portfolios at t=1 were examined so as to demystify if realized returns rise or not.

Keywords

Data envelopment analysis Efficiency of portfolios Portfolio choice

References

  • Altay, E., Sermaye Piyasası’nda Varlık Fiyatlama Teorileri: Sermaye Piyasası Teorisi ve Arbitraj Fiyatlama Teorisi, Derin Yayınları, 2004
  • Bernstein, P. L., Damodaran, A., Investment Management, Wiley Frontiers in Finance, 1998, ISBN:0-471-19715-7
There are 2 citations in total.

Details

Journal Section Makaleler
Authors

Leyla İşbilen Yücel

Publication Date April 29, 2016
Published in Issue Year 2016 Sayı 24 (2016)

Cite

APA İşbilen Yücel, L. (2016). AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA. Istanbul University Econometrics and Statistics E-Journal(24), 109-131.
AMA İşbilen Yücel L. AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA. Istanbul University Econometrics and Statistics e-Journal. April 2016;(24):109-131.
Chicago İşbilen Yücel, Leyla. “AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA”. Istanbul University Econometrics and Statistics E-Journal, no. 24 (April 2016): 109-31.
EndNote İşbilen Yücel L (April 1, 2016) AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA. Istanbul University Econometrics and Statistics e-Journal 24 109–131.
IEEE L. İşbilen Yücel, “AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA”, Istanbul University Econometrics and Statistics e-Journal, no. 24, pp. 109–131, April 2016.
ISNAD İşbilen Yücel, Leyla. “AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA”. Istanbul University Econometrics and Statistics e-Journal 24 (April 2016), 109-131.
JAMA İşbilen Yücel L. AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA. Istanbul University Econometrics and Statistics e-Journal. 2016;:109–131.
MLA İşbilen Yücel, Leyla. “AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA”. Istanbul University Econometrics and Statistics E-Journal, no. 24, 2016, pp. 109-31.
Vancouver İşbilen Yücel L. AN APPLICATION TOWARDS MAKING THE PORTFOLIOS EFFECTIVE IN LINE WITH THE SUGGESTIONS OF DEA. Istanbul University Econometrics and Statistics e-Journal. 2016(24):109-31.