Portföy seçimi için ortalama-varyans-çarpıklık modeli

Year 2008, Volume: 37 Issue: 2, 65 - 78, 16.01.2009

Barış Altaylıgil

Abstract

Bu makalemizde, finansal yatırım araçları arasından optimal portföy seçimi için önce çarpıklığı dikkate alan ortalama-varyans-çarpıklık (MVS) modeli daha sonra iyi çeşitlendirilmiş bir portföy elde edebilmek için entropi ölçüsü ekleyerek oluşturduğumuz ortalama-varyans-çarpıklık-entropi (MVSE) modeli tanıtılmaktadır. MVS ve MVSE’de, geleneksel çarpıklık formüllerinin kullanılması yerine daha dayanıklı ve hesaplanması daha kolay olan Pearson çarpıklık ölçüsü kullanılmıştır. Her iki model, İMKB-30’da yer alan hisse senetleri arasından portföy oluşturmak için kullanılmış ve elde edilen sonuçlar Markowitz’in ortalama-varyans (MV) modeli ile karşılaştırılmıştır. MVS modeli ile, MV modelinden daha etkin portföylerin seçilebileceği gösterilmiştir. 

Keywords

Markowitz Portföy Teorisi, Ortalama-Varyans, Çarpıklık, Entropi, Portföy Seçimi

Mean-variance-skewness model for portfolio selection

Abstract

In this paper, mean-variance-skewness (MVS) model is proposed first for optimal portfolio selection from financial assets, and then mean-variance-skewness-entopy (MVSE) model by adding entropy measure is proposed in order to obtain well diversified portfolio. In MVS and MVSE, Pearson skewness measure which is robust and easy to calculate than traditional skewness measures is used. Both models are used in IMKB-30 for portfolio selection and the results are compared with Markowitz mean-variance (MV) model. It is showed that more efficient portfolios can be selected by MVS model than MV model. 

Keywords

Markowitz Portfolio Theory, Mean-Variance, Skewness, Entropy, Portfolio Selection

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