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EXCEL-SOLVER EKLENTİSİYLE OLUŞTURULAN PORTFÖYLERİN CCR MODEL İLE ETKİNLİK ÖLÇÜMÜNE YÖNELİK BİR UYGULAMA

Year 2015, Issue: 23, 112 - 146, 20.01.2016

Abstract

Veri Zarflama Analizi, benzer girdiler kullanarak benzer çıktılar üreten homojen karar birimlerinin etkinliklerini ölçmede kullanılan, üretim fonksiyonunun tanımlanmasına ihtiyaç duyulmaksızın her karar birimi için ayrı ayrı optimal ağırlıklar hesaplayarak, karar birimlerinin etkin olup olmadıklarını, etkin değillerse bu durumun hangi girdi veya çıktılardan kaynaklandığını ortaya koyabilen nonparametrik bir yöntemdir. VZA, Charnes-Cooper-Rhodes tarafından 1978’de, Farell’ın ağırlıklı toplam girdilerin ağırlıklı toplam çıktıya bölünmesi ile elde edilen toplam faktör verimliliği mantığından yola çıkılarak, doğrusal programlama yaklaşımı ile türetilmiştir. Bu çalışmada VZA, portföylerin etkinliklerini ölçmek için kullanılmıştır. Portföyler yatırımcısına getiri sağlamakla görevli birer üretim birimi olarak kabul edilmiş, en az risk ile en fazla getiriyi sağlayan portföyler etkin portföy olarak tanımlanmıştır. Etkinlik analizinde kullanılan VZA modeli girdi yönelimli CCR modeldir. Girdi yönelimli modelin tercih edilme sebebi, yatırımlara ilişkin gerçekleşecek getiriler üzerinde herhangi bir işlem yapılamamasıdır. Çünkü getiriler her zaman için sürpriz bir şekilde oluşmaktadır ve bu konuda hiç kimse garanti veremez. Bunun yanında, girdiler, yani burada portföyün maruz kaldığı riskler ölçülebilir ve müdahale edilebilirdirler. 

AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER

Year 2015, Issue: 23, 112 - 146, 20.01.2016

Abstract

Data envelopment analysis measures the efficiencies of homogeneous decision making units which produce
similar outputs with similar inputs, without using production function. It calculates optimal weights for decision
making units individually, not only finds their efficiency scores but also the sources of inefficiency. Data
envelopmnet analysis method was derived by Charnes, Cooper and Rhodes in 1978 setting out Farrell’s total
factor productivity sense which is the ratio of weighted outputs to weighted inputs. In this study DEA is used for
measuring the efficiencies of portfolios. Portfolios are said to be production units which are assigned to supply
return to their investors. The portfolios which supplies maximum return with minimum risk are said to be
efficient ones. The DEA model preferred in this study is, input oriented CCR model. The reason for prefering
this model is that, there can be no operation made on returns. Because, returns realize surprisingly and no one
can guarantee the level of it. Furthermore, altough we can not operate on output of portfolio (realized return) ,
we can always interfere on inputs (measurable risk components of portfolio, market risk and non-market risk). 

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Authors

Leyla İşbilen Yücel

Publication Date January 20, 2016
Published in Issue Year 2015 Issue: 23

Cite

APA İşbilen Yücel, L. (2016). AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER. Istanbul University Econometrics and Statistics E-Journal(23), 112-146.
AMA İşbilen Yücel L. AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER. Istanbul University Econometrics and Statistics e-Journal. January 2016;(23):112-146.
Chicago İşbilen Yücel, Leyla. “AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER”. Istanbul University Econometrics and Statistics E-Journal, no. 23 (January 2016): 112-46.
EndNote İşbilen Yücel L (January 1, 2016) AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER. Istanbul University Econometrics and Statistics e-Journal 23 112–146.
IEEE L. İşbilen Yücel, “AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER”, Istanbul University Econometrics and Statistics e-Journal, no. 23, pp. 112–146, January 2016.
ISNAD İşbilen Yücel, Leyla. “AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER”. Istanbul University Econometrics and Statistics e-Journal 23 (January 2016), 112-146.
JAMA İşbilen Yücel L. AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER. Istanbul University Econometrics and Statistics e-Journal. 2016;:112–146.
MLA İşbilen Yücel, Leyla. “AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER”. Istanbul University Econometrics and Statistics E-Journal, no. 23, 2016, pp. 112-46.
Vancouver İşbilen Yücel L. AN APPLICATION FOR MEASURING EFFICIENCY WITH CCR MODELS OF PORTFOLITIES CREATED WITH EXCEL-SOLVER. Istanbul University Econometrics and Statistics e-Journal. 2016(23):112-46.