SECOND ORDER STOCHASTIC DOMINANCE EFFICIENCY ANALYSIS OF BORSA ISTANBUL

Abstract

Markowitz mean-variance portfolio theory is one of the most widely used approaches in portfolio selection. Recently another possible approach have been developed showing that efficient portfolios can be found by solving stochastic dominance constrained portfolio optimization problem. In this paper, we consider portfolio optimization problem with Second order Stochastic Dominance (SSD) constraints for Borsa Istanbul Stocks. Our results show that, for Borsa Istanbul, more efficient portfolios can be obtained with SSD constraint than conventional one. Furthermore we present SSD pairwise efficiency of stocks returns at Borsa Istanbul by using second order SD criteria. The results are important in terms of risk measures of an investment return.

Keywords

• Stochastic dominance,stochastic order,portfolio optimization,efficiency,financial returns

Abstract

Ortalama-varyans portföy teorisi portföy seçim problemi için kullanılan en yaygın yaklaşımlardan birisidir. Yakın geçmişte, stokastik baskınlık kısıtlı optimizasyon problemi ile etkin portföylerin bulunabileceğini gösteren çalışmalar geliştirilmiştir. Bu çalışmada Borsa İstanbul Hisse senetleri için İkinci Derece Stokastik Baskınlık kısıtlı portföy optimizasyonu problemi dikkate alınmaktadır. Sonuçlarımız Borsa İstanbul için İkinci Derece Stokastik Baskınlık kısıtlı optimizasyon problemi ile geleneksel yöntemlere nazaran daha etkin portföyler bulunabileceğini göstermektedir. Ayrıca Borsa İstanbul’da işlem gören şirketlere ait hisse senedi getirilerinin ikişerli etkinlikleri Stokastik Baskınlık kriteri kullanılarak analiz edilmiştir. Sonuçlar bir yatırım getirisinin riski açısından önem taşımaktadır. 1. GİRİŞ

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