TY - JOUR TT - BIST 30 ENDEKSİNDE PORTFÖY SEÇİMİ İÇİN YENİ BİR KISMİ HEDEF PROGRAMLAMA YAKLAŞIMI AU - Aksaraylı, Mehmet AU - Pala, Osman PY - 2018 DA - January Y2 - 2017 JF - Balkan Sosyal Bilimler Dergisi JO - BJSS PB - Tekirdağ Namık Kemal Üniversitesi WT - DergiPark SN - 2146-8494 SP - 119 EP - 134 VL - 7 IS - 13 KW - portföy optimizasyonu KW - çarpıklık KW - basıklık KW - entropi KW - hedef programlama N2 - Finansal portföyseçim problemi her zaman yatırımcılar ve finansal kurumlar için çözülmesi zorve önemli bir konudur. Portföy seçimi sorununun özü, belirli kriterlerçerçevesinde optimum portföy bileşimi elde etmektir. Kriterler ve kriterlereait önem dereceleri yatırımcıların bakış açısına göre değişebilmekteyken,portföyün temel değerlendirme unsuru, getiri ve risk unsurlarındanoluşmaktadır. Modern portföy teorisine göre sırasıyla portföy ortalama vevaryansı bu faktörleri karşılamaktadır. Markowitz, portföy seçiminde, hissesenedi getiri serilerinin normal olarak dağıldığı ve karar vericilerin faydafonksiyonlarının karesel olduğu varsayımına dayanan bir ortalama varyans modeliönermiştir. İlgili varsayımların geçerli olmadığı ve hisse senetlerininçarpıklık ve basıklık değerlerinin anlamlı olduğu pazarlarda yapılanaraştırmalar literatürde yaygın olarak görülmektedir. Ortalama varyans modeline yüksek momentler veentropi fonksiyonlarının eklenmesi ile portföy seçim sürecine daha fazladağılım bilgisi ve çeşitlilik katılabilmektedir. BIST-30 Endeksi portföy seçimprobleminde, Polinomsal Hedef Programlama modeli ve önerilen Kısmi HedefProgramlama yaklaşımı, ortalama varyans çarpıklık basıklık entropi fonksiyonlarınıbarındıran portföy seçim sürecinde test edilmiştir. Önerilen modelin gerçekperformansı ölçülmüş ve etkin portföy oluşturma açısından iyi sonuçlar verdiğigözlemlenmiştir. CR - Aouni, Belaı̈d, ve Ossama Kettani. 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