TY  - JOUR
TT  - The Effect of Covariance Matrix Estimation on Portfolio Selection Process: The  Application for Different Investment Horizons in ISE
AU  - Tuna, Gülfen
PY  - 2012
DA  - July
JF  - Ege Academic Review
JO  - eab
PB  - Ege Üniversitesi
WT  - DergiPark
SN  - 1303-099X
SP  - 311
EP  - 322
VL  - 12
IS  - 3
KW  - Kovaryans tahmini
KW  - portföy seçimi
KW  - küçülme tahmin edicisi
KW  - örnek kovaryans tahmin edicisi
KW  - yatırım ufku
N2  - The expected return vector and covariance matrix estimation are important input on the portfolio selection process. In this study, the use of different techniques to estimate the covariance matrix have been focused on the research of impact on portfolio risk. Portfolio selection process is carried out the periods of 1986:01-2009:12. The daily closing price of all stocks listed on the ISE as data set in this period is used. Markowitz portfolio selection model is used as a model. Investment horizon of one day, a week, for fifteen days, one month and one-year periods were chosen. The sample covariance estimator with the shrinkage estimato rdeveloped by Ledoit and Wolf(2004) as covariance estimators is used. According to the research results, the ISE with a lower risk and more easily managed portfolio options have been able to achieve by shrinkage estimator of Ledoit and Wolf(2004)
CR  - Bengtsson, C. ve Holst I. (2002) “On Portfolio Selection: İmproved Covariance Matrix Estimation For Swedish Asset Returns” Working Paper Series.
CR  - Ceylan, A. ve Korkmaz, T. (1998) Borsada Uygulamalı Portföy Yönetimi 3. Baskı, Bursa, Ekin Kitapevi Yayınları.
CR  - Clarke, R.,, H. Silva ve S. Thorley (2006), “Minimum Variance Portfolios in the U.S.. Equity Market” Portfolio Management, 33(1):10-24.
CR  - Disatnik, D. J. ve S. Benninga (2006) “Estimating the Covariance Matrix for Portfolio Optimization” Working Paper Series.
CR  - Elton, E. ve M. Gruber (1973)“Estimating the Dependence Structure of Share Prıces Implıcatıons for Portfolio Selection” Journal of Finance, 28(5):1203-1232.
CR  - Elton, E., M. Gruber ve T. Urich (1978) “Are Betas Best?”Journal of Finance, 33(5):1375-1384.
CR  - Eun, Cheol S. ve Bruce G. Resnick (1984) “Estimating The Correlation Structure of International Share Prices”The Journal of Finace, 39(5):1311-1324.
CR  - Frost, P. A. ve J. E. Savarino (1986) “An Emprcal Bayes Approach to Efficient Portfolio Selection” The Journal of Financial Quantitative Analysis, 21(3):293- 305.
CR  - Jagannathan, R. ve T. Ma (2003) “Risk Reduction in Large Portfolios: Why İmposing The Wrong Constrains Helps”Journal of Finance, 58:1651-1683.
CR  - Jagannathan, R. ve T. Ma. (2000) “Three Methods for Improving the Precision in Covariance Matrix Estimation” Working Paper Series.
CR  - Jorion, P. (1986) “Bayes-Stein Estimation for Portfolio Analysis, Bayes-Stein Estimation for Portfolio Analysis” Journal of Financial and Quantitative Analysis, 21:279-292.
CR  - Ledoit, 0. ve M. Wolf (2004) “Honey I Shrunk the Sample Covariance Matrix” Journal of Portfolio Management, 31: 603-621.
CR  - Ledoit, 0. ve M. Wolf (2003) “Improved Estimation of the Covariance Matrix of Stock Returns With an Application to Portfolio Selection” Journal of Empirzcal Finance,10:603-621.
CR  - Markowitz H. M. (1959) Portfolio Selection: Efcient Diversifcation of Investments, Wiley, Yale University Press.
CR  - Markowitz H. M.(1956) “The optimization of a quadratic function subject to linear constraints”,Naval Research Logistics Quarterly, 3:111-133.
CR  - Markowitz H. M.(1987)Mean-Variance Analysis in Portfolio Choice and Capital Markets Blackwell Publishers.
CR  - Markowitz, H. (1952) “Portfolio Selection”Journal of Finance, 1(7):7-91.
CR  - Pafka, S. ve 1. Kondor (2004) “Estimated Correlation Matrices And Portfolio Optimization”, Physca A: Statistical Mechanics and Its Applications, 343: 623-634.
CR  - Stein, C. (1955) “Inadmissibility of the Usual Estimator for the Mean of the Multivariate Normal Distribution” Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, 1:197-206.
UR  - https://dergipark.org.tr/tr/pub/eab/issue//473737
L1  - https://dergipark.org.tr/tr/download/article-file/559222
ER  -