ETKİN PORTFÖYLERİN OLUŞTURULMASINDA TEK ENDEKS MODELİ: İMKB'DE BİR UYGULAMA

Yıl 1999, Cilt: 15 Sayı: 1, 175 - 192, 01.12.1999

S. Ünal Şakar

Öz

In order to identify the efficient set of portfolios in the Markowitz model, a huge quantity of data is required. However, single index (or market, diagonal) model, developed by Sharpe, substantially reduces the number of data which are required for Markowitz model. The single index model assumes that the return of any stock could be related to the return of the market.
The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.

Anahtar Kelimeler

Portföy yönetimi, Yatırım analizi, Matematiksel modeller

Kaynakça

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• İMKB Şirketleri Sermaye, Temettü ve Aylık Fiyat Verileri: 1986-1997, İMKB yayını.