Portföy Optimizasyonunda Ortalama Varyans ve Tek Endeks Modellerinin Etkinliği Üzerine Bir Meta-Analizi

Abstract

Ortalama-Varyans (MV) Modeli ve Tek Endeks (SI) Modeli, finansal portföy yönetiminde önemli rol oynayan temel teorilerdir ve çok sayıda çalışma bu modelleri risk ve getiri tahmin performansları açısından karşılaştırmaktadır. İlk çalışmalardaki çelişkili sonuçlar nedeniyle, hem MV modeli aracılığıyla Markowitz Portföy Teorisi hem de Sharpe (1964) tarafından tanıtılan SI modelinin portföy optimizasyonu için etkili olduğu düşünülmektedir. Bu çalışma, Meta-Analiz kullanarak MV Modeli ve SI) karşılaştırmayı amaçlamaktadır. MV ve SI modellerinin portföy optimizasyonu karşılaştırmalarını inceleyen 48 çalışma üzerinde yapılan portföy optimizasyonu analizinin tüm çalışmalarına dayanarak genel bir sonuca ulaşmak ve hangi modelin daha yararlı olduğunu araştırmak için meta-analiz yöntemini kullandık. Ampirik sonuçlar, MV ve SI modellerini karşılaştırmak için bir neden olmadığını doğrulamaktadır. Bu makale, yatırımlar arasındaki finansal heterojenliğin portföy optimizasyonu çerçevelerine entegre edilmesinin önemini ortaya koymaktadır.

Keywords

• Portföy Optimizasyonu
• Markowitz Portföy Teorisi
• Tek-Endeks Modeli
• Ortalama-Varyans Modeli
• Meta-Analiz

Supporting Institution

Çalışmada herhangi bir kurum ya da kuruluştan destek alınmamıştır.

Ethical Statement

Etik kurul belgesi gerektiren bir çalışma değildir.

A Meta-Analysis of the Effectiveness of Mean-Variance and Single-Index Models in Portfolio Optimization

Abstract

The Mean-Variance (MV) Model and the Single-Index (SI) Model are core theories that play a significant role in financial portfolio management, with numerous studies contrasting these models in terms of their risk and return estimation performance. Due to conflicting conclusions in primary studies, both the Markowitz Portfolio Theory via the MV model and the SI model introduced by Sharpe (1964) are considered effective for portfolio optimization. The study aims to compare the MV Model and the SI by using Meta-Analysis. The meta-analysis method is used to reach an overall conclusion and to investigate which model is more useful based on all the studies of portfolio optimization analysis conducted on 48 studies examining portfolio optimization comparisons of the MV and the SI models. The empirical results confirm that there is no reason to compare the MV and SI models. The study provides the significance of integrating financial heterogeneity among investments into portfolio optimization frameworks.

Keywords

• Portfolio Optimization
• Markowitz Portfolio Theory
• Single-Index Model
• Mean-Variance Model
• Meta-Analysis

Supporting Institution

No support is taken from any institution or organization.

Ethical Statement

The study does not necessitate an approval of ethical committee.

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