A Comparison on Portfolio Selection Problem: Data Envelope Analysis and Mean Variance Methods Example

Yıl 2023, Cilt: 5 Sayı: 2, 122 - 139, 31.12.2023

Hatice Cenger , Erkan Poyraz

Öz

Portföy Seçim Problemi Üzerine Karşılaştırma: Veri Zarflama Analizi Ve Ortalama Varyans Modeli Örneği

Öz

Çalışma; portföy optimizasyonunda kullanılan Markowitz ortalama varyans modeli (OVM) ve veri zaraflama analizi (VZA) modelinin karşılaştırılmasına yöneliktir. Veri zarflama analizi; menkul kıymet getirilerinin birden fazla değişkenle ilişkilendirilmesine imkan tanıyan, menkul kıymet sayısı fazlalığı neticesinde hesaplama zorluğuna sebep olmayan ve fayda fonksiyonuna göre etkin sınır üzerinde bulunan portföylerin belirlenmesine imkan tanıyan ekonometrik bir yöntemdir. Çalışmada veri seti 2015-2019 yılları arasında BIST-100 Endeksi’nde sürekli işlem gören hisse senetlerinin, günlük getiri verilerinden oluşmaktadır. Ortalama varyans modeli’nin ve veri zarflama analizi uygulama sonuçları, beklenen getiri ve risk açısından iki hipotez oluşturularak test edilmiştir. Sonuç olarak VZA yöntemi ile oluşturulan etkin sınır üzerindeki portföylerin risk ve getirisinin OVM ile oluşturulan portföylerden farklı olduğu tespit edilmiştir.

Anahtar Kelimeler

Ortalama Varyans Modeli, Veri Zarflama Analizi, Portföy Optimizasyonu, Etkin Sınır

Etik Beyan

Etik beyan raporunu gerektiren bir çalışma değildir.

Kaynakça

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