BibTex RIS Kaynak Göster

Portföy Optimizasyonunda Alt Kısmi Moment ve Yarı-Varyans Ölçütlerinin Kullanılması

Yıl 2010, Cilt: 4 Sayı: 1, 47 - 74, 01.06.2010

Güven Sayılgan Arma Değer Mut

Anahtar Kelimeler

Portföy Optimizasyonu Alt Kısmi Moment Yarı-Varyans

Kaynakça

  • Dreo, J., Petrowski, A., Siarry, P. ve Taillard, E. (2006). Metaheuristics for Hard Optimization. New York: Springer Berlin/Heidelberg.
  • Estrada, J. (2008). Mean-Semivariance Optimization: A Heuristic Approach. Jo- urnal of Applied Finance, Spring/Summer 2008, 57–72.
  • Fernández, A. ve Gómez, S. (2007). Portfolio selection using neural networks. Computers & Operations Research, 34(4), 1177–1191.
  • Fishburn, P. C. (1977). Mean-Risk Analysis with Risk Associated with Below-Tar- get Returns. The American Economic Review, 67(2), 116–126.
  • Friedman, M. ve Savage, L. P. (1948). The Utility Analysis of Choices involving Risk. Journal of Political Economy, 56(4), 279–304.
  • Gomes, F. J. (2005). Portfolio Choice and Trading Volume With Loss-Averse In- vestors. Journal of Business, 78(2), 675–706.
  • Grootveld, H. ve Hallerbach, W. (1999). Variance vs. downside risk: Is there re- ally that much difference?. European Journal of Operational Research, 114(2), 304–319.
  • Jarrow, R. ve Zhao, F. (2006). Downside Loss Aversion and Portfolio Manage- ment. Management Science, 52(4), 558?566.
  • Jensen, M. C., Black, F. ve Scholes, M. (1972). The Capital Asset Pricing Model: Some Empirical Tests. İçinde, Michael C. Jensen (Editör), Studies in the Theory of Capital Markets. New York: Praeger Publishers Inc.
  • Knight, F. H. (1921). Risk, Uncertainty, and Profit, Hart, Schaffner, and Marx Prize Essays, no. 31. Boston and New York: Houghton Mifflin.
  • Kraus, A. ve Litzenberger, R. H. (1976). Skewness Preference and the Valuati- on of Risk Assets. The Journal of Finance, 31(4), 1085–1100.
  • Lin, C. ve Liu, Y. (2008). Genetic Algorithms for Portfolio Selection Problems with Minimum Transaction Lots. European Journal of Operational Research, 185(1), 393–404.
  • Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91.
  • Markowitz, H. M. (1956). The Optimization of a Quadratic Function Subject to Linear Constraints. Naval Research Logistics Quarterly, 3(1-2), 111–133.
  • Markowitz, H. M. (1959). Portfolio Selection, Efficient Diversification of Invest- ment. New York: Yale University Press.
  • Markowitz, H. M. (1991). Foundations of Portfolio Theory. The Journal of Fi- nance, 46(2), 469–477.
  • Markowitz, H. M., Todd, P., Xu, G. ve Yamane, Y. (1993). Computation of me- an-semivariance efficient sets by the Critical Line Algorithm. Annals of Operati- ons Research, 45(1), 307–317.
  • Nawrocki, D. N. (1991). Optimal Algorithms And Lower Partial Moment: Ex- Post Results. Applied Economics, 23, 465–470.
  • Nawrocki, D. N. (1999). A Brief History of Downside Risk Measures. Journal of Investing, 8(3), 9–25.
  • von Neumann, J. ve Morgenstern, O. (1943). Theory of Games and Economic Behavior (Commemorative Edition) (Princeton Classic Editions). Princeton Uni- versity Press.
  • Pratt, J. W. (1964). Risk Aversion in the Small and in the Large. Econometrica, 32(1/2), 122–136.
  • Price, K., Price, B. ve Nantell, T. J. (1982). Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results. The Jour- nal of Finance, 37(3), 843–855.
  • Roy, A. D. (1952). Safety First and the Holding of Assets. Econometrica, 20(3)
  • Rudolph, G. (1994). Convergence Analysis of Canonical Genetic Algorithms. IEEE Transactions on Neural Networks, 5(1), 96–101.
  • Saha, A. (1993). Expo-power Utility: A Flexible Form for Absolute and Relative Risk Aversion. American Journal of Agricultural Economics, 75, 905–913.
  • Sharpe, W. F. (1994). The Sharpe Ratio, The Journal of Portfolio Management, 21(1), 49–58.
  • Sharpe, W. F., Alexander, G. J. ve Bailey, J. V. (1999). Investments. New York: Prentice Hall.
  • Sortino, F. A. ve Price, L. N. (1994). Performance Measurement in a Downside Risk Framework. The Journal of Investing, 3(3), 59–94.
  • Türk Dil Kurumu (TDK) web sitesi, Büyük Türkçe Sözlük, http://tdkte- rim.gov.tr/bts/ (Eriflim tarihi: 23.03.2009)

Abstract - Uses of Variance and Lower Partial Moment Measures for Portfolio Optimization

Yıl 2010, Cilt: 4 Sayı: 1, 47 - 74, 01.06.2010

Güven Sayılgan Arma Değer Mut

Anahtar Kelimeler

Portfolio Optimization Lower Partial Moment Semivariance

Kaynakça

  • Dreo, J., Petrowski, A., Siarry, P. ve Taillard, E. (2006). Metaheuristics for Hard Optimization. New York: Springer Berlin/Heidelberg.
  • Estrada, J. (2008). Mean-Semivariance Optimization: A Heuristic Approach. Jo- urnal of Applied Finance, Spring/Summer 2008, 57–72.
  • Fernández, A. ve Gómez, S. (2007). Portfolio selection using neural networks. Computers & Operations Research, 34(4), 1177–1191.
  • Fishburn, P. C. (1977). Mean-Risk Analysis with Risk Associated with Below-Tar- get Returns. The American Economic Review, 67(2), 116–126.
  • Friedman, M. ve Savage, L. P. (1948). The Utility Analysis of Choices involving Risk. Journal of Political Economy, 56(4), 279–304.
  • Gomes, F. J. (2005). Portfolio Choice and Trading Volume With Loss-Averse In- vestors. Journal of Business, 78(2), 675–706.
  • Grootveld, H. ve Hallerbach, W. (1999). Variance vs. downside risk: Is there re- ally that much difference?. European Journal of Operational Research, 114(2), 304–319.
  • Jarrow, R. ve Zhao, F. (2006). Downside Loss Aversion and Portfolio Manage- ment. Management Science, 52(4), 558?566.
  • Jensen, M. C., Black, F. ve Scholes, M. (1972). The Capital Asset Pricing Model: Some Empirical Tests. İçinde, Michael C. Jensen (Editör), Studies in the Theory of Capital Markets. New York: Praeger Publishers Inc.
  • Knight, F. H. (1921). Risk, Uncertainty, and Profit, Hart, Schaffner, and Marx Prize Essays, no. 31. Boston and New York: Houghton Mifflin.
  • Kraus, A. ve Litzenberger, R. H. (1976). Skewness Preference and the Valuati- on of Risk Assets. The Journal of Finance, 31(4), 1085–1100.
  • Lin, C. ve Liu, Y. (2008). Genetic Algorithms for Portfolio Selection Problems with Minimum Transaction Lots. European Journal of Operational Research, 185(1), 393–404.
  • Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77–91.
  • Markowitz, H. M. (1956). The Optimization of a Quadratic Function Subject to Linear Constraints. Naval Research Logistics Quarterly, 3(1-2), 111–133.
  • Markowitz, H. M. (1959). Portfolio Selection, Efficient Diversification of Invest- ment. New York: Yale University Press.
  • Markowitz, H. M. (1991). Foundations of Portfolio Theory. The Journal of Fi- nance, 46(2), 469–477.
  • Markowitz, H. M., Todd, P., Xu, G. ve Yamane, Y. (1993). Computation of me- an-semivariance efficient sets by the Critical Line Algorithm. Annals of Operati- ons Research, 45(1), 307–317.
  • Nawrocki, D. N. (1991). Optimal Algorithms And Lower Partial Moment: Ex- Post Results. Applied Economics, 23, 465–470.
  • Nawrocki, D. N. (1999). A Brief History of Downside Risk Measures. Journal of Investing, 8(3), 9–25.
  • von Neumann, J. ve Morgenstern, O. (1943). Theory of Games and Economic Behavior (Commemorative Edition) (Princeton Classic Editions). Princeton Uni- versity Press.
  • Pratt, J. W. (1964). Risk Aversion in the Small and in the Large. Econometrica, 32(1/2), 122–136.
  • Price, K., Price, B. ve Nantell, T. J. (1982). Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results. The Jour- nal of Finance, 37(3), 843–855.
  • Roy, A. D. (1952). Safety First and the Holding of Assets. Econometrica, 20(3)
  • Rudolph, G. (1994). Convergence Analysis of Canonical Genetic Algorithms. IEEE Transactions on Neural Networks, 5(1), 96–101.
  • Saha, A. (1993). Expo-power Utility: A Flexible Form for Absolute and Relative Risk Aversion. American Journal of Agricultural Economics, 75, 905–913.
  • Sharpe, W. F. (1994). The Sharpe Ratio, The Journal of Portfolio Management, 21(1), 49–58.
  • Sharpe, W. F., Alexander, G. J. ve Bailey, J. V. (1999). Investments. New York: Prentice Hall.
  • Sortino, F. A. ve Price, L. N. (1994). Performance Measurement in a Downside Risk Framework. The Journal of Investing, 3(3), 59–94.
  • Türk Dil Kurumu (TDK) web sitesi, Büyük Türkçe Sözlük, http://tdkte- rim.gov.tr/bts/ (Eriflim tarihi: 23.03.2009)
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Güven Sayılgan Bu kişi benim

Arma Değer Mut Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2010
Yayımlandığı Sayı Yıl 2010 Cilt: 4 Sayı: 1

Kaynak Göster

APA Sayılgan, G., & Mut, A. D. (2010). Portföy Optimizasyonunda Alt Kısmi Moment ve Yarı-Varyans Ölçütlerinin Kullanılması. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 4(1), 47-74.