Portfolio Optimization: Application of the Black-Litterman Model

Öz

This research article proposes an approach for using the Black-Litterman model to optimize the asset allocation of a financial investment portfolio consisting entirely of investment fund shares, essentially a fund portfolio. In this study, the investment fund market was modeled financially using indices generated by grouping investment funds traded in the Turkish investment fund market, which was considered as an application. In this market, while potential performance improvements were identified for determining efficient portfolios based on nonlinear programming, i.e., portfolio optimization processes, it was also demonstrated that results comparable to traditional asset indices could be produced. Furthermore, this research highlights the advantages of incorporating investor (capital owner) and fund/portfolio manager views (market direction forecasts) into the optimization process and suggests that investment fund indices can be used as effective substitutes for optimization models that use traditional/official market benchmark composite indices. In conclusion, this study expands the application of the Black-Litterman model to investment fund investments, providing a structured approach to portfolio management.

Anahtar Kelimeler

• Portfolio selection
• investment funds
• optimization techniques

Teşekkür

Prof. Dr. Ali Osman GÜRBÜZ, Prof. Dr. Serkan ÇANKAYA

Portföy Optimizasyonu: Black Litterman Modeli Uygulaması

Öz

İlgili bu araştırma makalesi çalışması, yatırım aracı olarak tamamı yatırım fonu katılım paylarından oluşan bir finansal yatırım portföyünün yani aslında bir fon sepeti portföyünün, varlık dağılımının optimizasyonu uygulaması için Black-Litterman modelinin kullanım yöntemine dair bir yaklaşım önerisi sunmaktadır. Bu çalışmada, uygulama olarak ele alınan Türkiye yatırım fonu piyasasında işlem gören yatırım fonlarının gruplanması ile üretilen endekslerin kullanımıyla yatırım fonu piyasası finansal olarak modellenmiştir. Bu piyasada doğrusal olmayan programlamaya dayalı etkin portföylerin belirlenmesi yani portföy optimizasyonu süreçleri için, potansiyel performans iyileştirmeleri ortaya konulurken, aynı zamanda da geleneksel varlık endeksleriyle karşılaştırılabilir sonuçlar üretilebildiği gösterilmiştir. Yine ilgili bu araştırma çalışmasında, yatırımcı (sermayedar) ve fon/portföy yöneticisi görüşlerinin (piyasa yönü tahminlerinin) optimizasyon sürecine dahil edilebilmesinin avantajlarını öne çıkarırken ve yatırım fonu endekslerinin geleneksel/resmi piyasa gösterge bileşik endekslerinin kullanıldığı optimizasyon modellerine göre etkili ikameler olarak kullanılabileceğini öne sürmektedir. Sonuç olarak, bu çalışma, Black-Litterman modelinin yatırım fonu yatırımlarına uygulanması alanını genişleterek portföy yönetimine yapılandırılmış bir yaklaşım sağlar.

Anahtar Kelimeler

• Portföy seçimi
• yatırım fonu
• optimizasyon teknikleri

Kaynakça

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