BLACK-LITTERMAN YÖNTEMİNE DAYALI PORTFÖY OPTİMİZASYON ANALİZLERİ

Yıl 2021, Cilt: 12 Sayı: 24, 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

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