A Robust Theoretical Approach for Sustainable Portfolio Selection: An Application on BIST Participation Sustainability Index Stocks

Öz

This study aims to examine sustainable portfolio selection for conservative investors. In this context, a two-stage approach is proposed. In the first stage, the sustainability scores of stocks are obtained by utilizing expert knowledge through a fuzzy multi-criteria decision-making (FMCDM) approach abbreviated as R-FES. In the second stage, a robust optimization problem that takes into account the sustainability score vector, the sample mean vector and the sample covariance matrix is formulated. Moreover, the analytical solution of this problem is given under certain assumptions. In order to introduce the proposed robust theoretical approach, an application on BIST participation sustainability index stocks is made. In the application, it is seen that sustainable investment may not cause performance loss. In addition, the constraint of not taking short positions is found to improve performance while reducing risk and return.

Anahtar Kelimeler

• Fuzzy Set
• Multi-Criteria Decision-Making
• Robust Optimization
• Portfolio Selection
• Sustainability

Sürdürülebilir Portföy Seçimi İçin Bir Dayanıklı Teorik Yaklaşım: BIST Katılım Sürdürülebilirlik Hisse Senetleri Üzerine Bir Uygulama

Öz

Bu çalışmanın amacı tutucu yatırımcılar için sürdürülebilir portföy seçimini incelemektir. Bu kapsamda iki aşamalı bir yaklaşım önerilmiştir. İlk aşamada hisse senetlerinin sürdürülebilirlik skorları, R-FES olarak kısaltılan bir bulanık çok kriterli karar verme (ÇKKV) yaklaşımıyla uzman bilgisinden yararlanılarak elde edilmiştir. İkinci aşamada sürdürülebilirlik skoru vektörünü, örneklem ortalama vektörünü ve örneklem kovaryans matrisini dikkate alan bir dayanıklı optimizasyon problemi oluşturulmuştur. Ayrıca bu problemin analitik çözümü belirli varsayımlar altında verilmiştir. Önerilen dayanıklı teorik yaklaşımı tanıtmak amacıyla BIST katılım sürdürülebilirlik endeksi hisseleri üzerine bir uygulama yapılmıştır. Yapılan uygulamada sürdürülebilir yatırımın performans kaybına neden olmayabileceği görülmüştür. Ayrıca kısa pozisyon almama kısıtının; performansı artırırken, riski ve getiriyi azalttığı görülmüştür.

Anahtar Kelimeler

• Bulanık Küme
• Çok Kriterli Karar Verme
• Dayanıklı Optimizasyon
• Portföy Seçimi
• Sürdürülebilirlik

Kaynakça

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