Sektör Düzeyinde Portföy Çeşitlendirmesi ve Portföy Optimizasyonu, Türkiye Uygulaması

Öz

This paper explores diversification potential and investment opportunities at the industry level for Turkey for the time period between 2007 and 2020. This study uses the factor analysis to determine domestic diversification opportunities and the Markowitz's risk-return model to evaluate portfolio optimization and measure the optimal weight of sectors in the market index. Results show that the wholesale, retail trade and transportation industries should be prioritized by the policy makers, as these industries earn highest returns at a given risk level. Bu çalışma 2007 ve 2020 yılları arasında Türkiye’de sektör düzeyinde çeşitlendirme potansiyelini ve yatırım fırsatlarını incelemektedir. Bu çalışma, yurtiçi çeşitlendirme fırsatlarını belirlemek için faktör analizini ve portföy optimizasyonunu değerlendirmek ve piyasa endeksindeki sektörlerin optimum ağırlığını ölçmek için Markowitz’in risk-getiri modelini kullanmaktadır. Yazarlar toptan ve perakende ticaret, taşıma ve ulaşım sektörlerin siyasete yön verenler tarafından öncelik verilmesi gerektiğini ortaya koymaktadır. Bu sektörlerin belirli bir risk seviyesinde en yüksek getiriye sahip oldukları gözlemlenmektedir.

Anahtar Kelimeler

• Portföy optimizasyonu
• faktör analizi, yurtiçi çeşitlendirme
• Markowitz'in risk-getiri modeli
• etkin portfolio

Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey

Öz

This paper applies the mean-variance, mean-VaR, and mean-CVaR portfolio optimization approach to
investigate opportunities for domestic diversification from Turkey investors’ viewpoints. We explore
diversification potential and investment opportunities at the industry level for the time period between 2007 and
2020. The study uses factor analysis to determine domestic diversification opportunities and measure the
optimal weight of sectors in the market index. Results from factor analysis show that for investors who desire to
create a domestic portfolio considerable diversification opportunities are available. Portfolio optimization
analysis indicates that the wholesale, retail trade and transportation industries should be prioritized by the
policymakers, as these industries earn the highest returns at a given risk level.

Anahtar Kelimeler

• Portfolio Optimization
• Factor Analysis
• Domestic Diversification
• Markowitz's Risk-Return Framework
• Efficient Portfolia

Kaynakça

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