BLACK-LITTERMAN YÖNTEMİNE DAYALI PORTFÖY OPTİMİZASYON ANALİZLERİ

Yıl 2021, , 621 - 647, 21.12.2021

Önder Büberkökü

https://doi.org/10.36543/kauiibfd.2021.026

Öz

Bu çalışmada 24 farklı hisse senedi dikkate alınarak alternatif varsayımlar altında Black-Litterman (1992) yöntemi ile oluşturulan 12 farklı optimal portföyün performansı analiz edilmiştir. Çalışma bulguları Black-Litterman (1992) yönteminin iyi çeşitlendirilmiş portföyler oluşturabildiğini göstermektedir. Çalışma bulguları ayrıca referans (benchmark) portföyü oluşturan hisse senetlerinin ağırlıklarının belirlenmesinde risk paritesi yaklaşımının kullanılmasının ve referans portföyden beklenen getiri oranının artmasının Black-Litterman (1992) yönteminin performansını belirgin bir şekilde arttırdığı sonucuna işaret etmektedir. Son olarak da bulgular Black-Litterman (1992) yöntemi ile oluşturulan optimal portföylerin piyasa portföyünden daha iyi performans sergilediğine işaret etmektedir.

Anahtar Kelimeler

Portföy optimizasyonu, Black-Litterman modeli, Risk paritesi yaklaşımı

PORTFOLIO OPTIMIZATION ANALYSIS BASED ON THE BLACK-LITTERMAN ASSET ALLOCATION MODEL

Öz

In this study, we analyse the performance of 12 different optimal portfolios created with the Black-Litterman (1992) model under alternative assumptions by taking 24 different stocks in the S&P500 index into account. The study findings show that this model can create well-diversified portfolios. The findings of the study also indicate that the use of the risk parity approach in determining the weights of the stocks that make up the benchmark portfolio and the increase in the expected return rate of the benchmark portfolio significantly increase the performance of the Black-Litterman model. Finally, the findings reveal that the optimal portfolios created by the Black-Litterman (1992) model outperform the market portfolio.

Anahtar Kelimeler

Portfolio optimization, Black-Litterman model, risk parity approach

Kaynakça

• Almahdi, S., & Yang, S.Y. (2017). An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown. Expert Systems With Applications, 87, 267–279.
• Arulraj, M., Meghana, P.V.S., & Karthika, R. (2012).Global portfolio optimization for BSE Sensex using the enhanced Black-Litterman model.Procedia Engineering, 38, 2987-2997.
• Asness, C.S., Frazzini, A., & Pedersen, L.H. (2018). Leverage aversion and risk parity. Financial Analysts Journal, 68 (1), 47-59.
• Aytürk, Y. (2015). Black-Litterman modeli ile Borsa İstanbul’da portföy optimizasyonu. Bankacılar Dergisi, 95, 51-68.
• Başar, G.P. (2019).Optimum portföy oluşturma ve BİST’te bir uygulama. Yayınlanmamış yüksek lisans tezi, Balıkesir Üniversitesi, Balıkesir.
• Beach, S.L., & Orlov, A.G. (2007). An application of the Black-Litterman model with EGARCH-M-derived views for ınternational portfolio management. Financial Markets and Portfolio Management, 21, 147-166.
• Bertsimas, D., Gupta, V., & Paschalidis, I. C. (2012). Inverse optimization: A new per- spective on the Black–Litterman model. Operations Research, 60 (6), 1389–1403 .
• Bessler, W., Opfer, H., & Wolff, D. (2017). Multi-asset portfolio optimization and out-of-sample performance: An evaluation of Black–Litterman, mean-variance, and naïve diversification approaches. The European Journal of Finance, 23(1), 1-30.
• Bevan, A., & Winkelmann, K. (1998). Using the Black–Litterman global asset allocation model: Three years of practical experience. R.A. Krieger (Ed.). Global fixed income portfolio strategy fixed income research (pp. 1-19). New York: Goldman Sachs & Company.
• Black, F., & Litterman. R. (1992). Global portfolio optimization. Financial Analysts Journal, 48 (5), 28–43.
• Chang, T-J., Yang, S-C., & Chang, K.J. (2019). Portfolio optimization problems in different risk measures using genetic algorithm. Expert Systems with Applications, 36, 10529–10537.
• Cooper, R.A., & Molyboga, M. (2017). Black-Litterman, exotic beta and varying efficient portfolios: An integrated approach. Journal of Investment Strategies, 6(3), 13-30.
• Costa, G., & Kwon, R.H. (2019). Risk parity portfolio optimization under a markov regime-switching framework. Quantitative Finance, 19 (3), 453-471.
• Çalışkan, T. (2012). Black Litterman ve Markowitz ortalama varyans modelinin beta faktörü, artık dalgalanma dereceleri ve toplam riskleri yönünden karşılaştırılması. Business and Economics Research Journal, 3(4), 43-55.
• Garip, O. (2014). Optimum portföy seçimi ve BİST’te işlem gören firmalar üzerinde bir araştırma. Yayınlanmamış yüksek lisans tezi, Karamanoğlu Mehmetbey Üniversitesi, Karaman.
• Harris, R.D.F, Stoja, E., & Tan, L. (2017). The Dynamic Black–Litterman approach to asset allocation. European Journal of Operational Research, 259, 1085–1096.
• He, G., & Litterman, R. (2002). The intuition behind Black-Litterman model portfolios. SSRN, 1-27.
• Idzorek. T. (2002). A step-by-step guide to the Black-Litterman model technical report. 18 Haziran 2020 tarihinde https://faculty.fuqua. duke. edu/~charvey/Teaching/ BA453_2006/ Idzorek_o nBL.pdf. adresinden erişildi.
• Jayeola, D., Ismail, Z., Sufahani, S.F., & Manliura, D.P. (2017). Optimal method for investing on assets using Black Litterman model. Far East Journal of Mathematical Sciences, 101(5),1123-1131.
• Jia-long, L., Bo-wei, L.,& Min, L. (2013). Model contest and portfolio performance: Black-Litterman versus factor models. International Conference on Management Sciences & Engineering (20th), Harbin, P.R. China, July 17-July 19, 2013.
• Kara, M. (2017).Yapay zeka modeliyle genişletilmiş hibrit Black-Litterman model önerisi: Borsa İstanbul BİST30 endeks verileri ile test edilmesi. Yayınlanmamış doktora tezi, Hacettepe Üniversitesi, Ankara.
• Kara, M.K., Ulucan, A., & Atıcı, K.B. (2019). A hybrid approach for generating investor views in Black-Litterman model. Expert Systems With Applications, 128, 256-270.
• Kocuk, B.,& Cornuéjols, G. (2020). Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals. Omega, 91, 1-12.
• Kurnaz, E. (2019). Markowitz ortalama-varyans ve Black-Litterman modelleri ile oluşturulan portföylerin karşılaştırılması: BIST 100 endeksi şirketleri üzerine bir uygulama. Yayımlanmamış yüksek lisans tezi, Mersin Üniversitesi, Mersin.
• Lee, W. (2000). Advanced theory and methodology of tactical asset allocation. New York: John Wiley & Sons.
• Lejeune, M.A. (2011). A VAR Black–Litterman model for the construction of absolute return fund-of-funds. Quantitative Finance, 11(10), 1489-1501.
• Maillard, S., Roncalli, T., & Teiletche, J. (2010). The properties of equally weighted risk contribution portfolios. The Journal of Portfolio Management Summer, 36 (4), 60-70.
• Mankert, C., & Seiler, M. (2012). Behavioral finance and its implication in the use of the Black-Litterman model. Journal of Real Estate Portfolio Management, 18(1), 99-121.
• Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
• Mishra, A.K., Pisipati, S., & Vyas, I.(2011). An equilibrium approach for tactical asset allocation: Assessing Black-Litterman model to Indian stock market. Journal Of Economics And International Finance, 3(10), 553-563.
• Osteryoung, J.S., Scott, E., & Roberts, G.S. (1977). Selecting capital projects with the coefficient of variation. Financial Management, 6(2), 65-70.
• Özel, H.A., & Özen, S. (2019).Sigorta şirketleri için Black-Litterman modeli çerçevesinde optimal portföy seçimi. Uluslararası Sosyal Araştırmalar Dergisi, 12(65), 1183-1188.
• Platanakis, E., & Urquhart, A. (2019). Portfolio management with cryptocurrencies: The role of estimation risk. Economic Letters, 177, 76-80.
• Sahamkhadam, M., Stephan, A., & Östermark, R. (2021). Copula-based Black-Litterman portfolio optimization. European Journal of Operational Reseach, Yayımlanma Aşamasında.
• Süer, S. (2015). Yatırımcı beklentilerinin Black-Litterman optimizasyon modeli ile değerlendirilmesi: Borsa İstanbul uygulaması. The Journal of Academic Social Science Studies, 34, 299-320.
• Xiao, Y., & Valdez, E.A. (2015). A Black-Litterman asset allocation model under elliptical distributions. Quantitative Finance, 15 (3), 509-519.