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PORTFÖY SEÇİMİNE ÇOK AMAÇLI YAKLAŞIM: DOĞRUSAL OLMAYAN HEDEF PROGRAMLAMA MODELİ

Yıl 2005, Sayı: 14, 57 - 74, 01.01.2005

Öz

Klasik ortalama-varyans MV portföy seçim modeli özü itibariyle çok amaçlı bir modeldir. Söz konusu modelçok amaçlı programlama yöntemlerinden kısıtlandırma yöntemiyle çözülmektedir. Bu çalışmada, portföy yatırımının iki ana unsuru olan portföy varyansı ve portföyün beklenen getirisiyle birlikte sistematik risk ölçüsü olanportföyün betası ele alınmıştır. Dolayısıyla, CAPM modelinin önemli bir parametresi olan beta ile ortalama-varyans yaklaşımı bir modelde entegre edilmiştir. Elde edilen çok amaçlı yapı, eşdeğerli ve öncelikli hedef programlama modelleriyle çözülmüştür. Uygulamada Temmuz 1998-Haziran 2003 dönemine ilişkin İMKB'den alınan düzeltilmiş veriler kullanılmıştır. Eşdeğerli hedef programlama modelinin klasik MV modeline göre dahatutucu davranırken, risk öncelikli hedef programlama modellerinin çok daha tutucu ve koruyucu davrandıklarıgözlemlenmiştir. Diğer taraftan, getiri öncelikli modellerin ise daha risk alıcı nitelikte hareket ettikleri tespitedilmiştir. Etkin sınırların ve korelasyon katsayılarının karşılaştırıldığı bu çalışmada, yatırımcılara çok amaçlı yatırım yapabilme alternatifleri sunulmaktadır

Kaynakça

  • Analiz Menkul Kıymetler, (Çevrimiçi), www.analiz.com, 13.05.2004.
  • Bolak, Mehmet, Sermaye Piyasası, Menkul Kıymetler ve Portföy Analizi, (2.baskı), Beta Yayınları, İstanbul, 1994.
  • Chunhachinda, P., K. Dandapani, S. Hamid ve A.J. Prakash, “Portfolio Selection and Skewness:Evidence from International Stock Markets”, Journal of Banking & Finance, Volume 2, Number 21, February 1997, s. 143- 167.
  • Foued, Ben Adbelaziz ve Mejri Sameh, “Application of Goal Programming in a Multi-objective Reservoir Operation Model in Tunisia”, European Journal of Operational Research, Number 133, s. 352-361.
  • IMKB, (Çevrimiçi), http://www.imkb.gov.tr/sirket/staveriler.htm, 13.05.2004.
  • Konno, Hiroshi ve Hiroaki Yamazaki, “Mean-Absolute Deviation Portfolio Optimization Model and its Application to Tokyo Stock Market”, Management Science, Volume 37, Number 5, March 1991, s. 519-531.
  • Markowitz, Harry M., Portfolio Selection: Efficient Diversification of Investments, (2nd Ed.), Basil Blackwell Inc., Massachusetts, 1991.
  • Moyer, R. Charles, James R. McGuigan ve William J. Kretlow, Contemporary Financial Management, (4th Ed.), West Publishing Company, USA, 1990. Prekopa, Andras, Stochastic Programming, Kluwer Academic Publishers, Hungary, 1995.
  • Prakash A.J., C.H. Chang ve T.E. Pactwa, “Selecting Portfolio with Skewness: Recent Evidence from US, European and Latin American Equity Markets”, Journal of Banking & Finance, Volume 7, Number 27, July 2003, s. 1375-1390.
  • Steuer, Ralph E.ve Paul Na, “Multiple Critaria Decision Making Combined with Finance:A Categorized Bibliographic Study”, European Journal of Operational Research, Number 150, 2003, s. 496-515.
  • Winston, Wayne L., Operations Research: Applications and Algorithms, (4th Ed.), Brooks/Cole -Thomson Learning, USA, 2004.
  • Winston, Wayne L. ve S. Christian Albright, Practical Management Science, (2nd Ed.), Duxbury -Thomson Learning, USA, 2001.
  • Wismer, David A., R. Chattergy, Introduction to Nonlinear Optimization: A Problem Solving Approach, Elsevier North-Holland Inc., New York, 1978.
  • Xu, Jiuping ve Jun Li, “A Class of Stochastic Optimization Problems with One Quadratic & Several Linear Objective Functions and Extended Portfolio Selection Model”, Journal of Computational and Applied Mathematics, Number 146, 2002, s. 99-113.

MULTI-OBJECTIVE APPROACH TO PORTFOLIO SELECTION:A NONLINEAR GOAL PROGRAMMING MODEL

Yıl 2005, Sayı: 14, 57 - 74, 01.01.2005

Öz

LThe classical mean-variance MV portfolio selection model is essentially a multi-objective model. The modelmentioned is solved by constrained technique, one of multi-objective programming methods. In this paper,portfolio beta, which is a measure of systematic risk, is determined together with portfolio variance and portfolio expected return, which are two main elements of portfolio investment. Thus, beta, an important parameter of CAPM model, is integrated with mean-variance approach in a single model. The obtained multi-objective structure is solved by both nonpreemptive and preemptive goal programming models. The adjusted data related to the period July 1998-June 2003, which are used in application, are taken from ISE Istanbul Stock Exchange . It is observed that nonpreemptive goal programming model behaves more defensive than classical MVmodel when risk preemptive models behave much more defensive than the others. On the other side, it is determined that return preemptive models behave to take more risk than the others. This study in which efficientfrontiers and correlation coefficients are compared, it is submitted the alternatives of investing to investors ina multi-objective frame

Kaynakça

  • Analiz Menkul Kıymetler, (Çevrimiçi), www.analiz.com, 13.05.2004.
  • Bolak, Mehmet, Sermaye Piyasası, Menkul Kıymetler ve Portföy Analizi, (2.baskı), Beta Yayınları, İstanbul, 1994.
  • Chunhachinda, P., K. Dandapani, S. Hamid ve A.J. Prakash, “Portfolio Selection and Skewness:Evidence from International Stock Markets”, Journal of Banking & Finance, Volume 2, Number 21, February 1997, s. 143- 167.
  • Foued, Ben Adbelaziz ve Mejri Sameh, “Application of Goal Programming in a Multi-objective Reservoir Operation Model in Tunisia”, European Journal of Operational Research, Number 133, s. 352-361.
  • IMKB, (Çevrimiçi), http://www.imkb.gov.tr/sirket/staveriler.htm, 13.05.2004.
  • Konno, Hiroshi ve Hiroaki Yamazaki, “Mean-Absolute Deviation Portfolio Optimization Model and its Application to Tokyo Stock Market”, Management Science, Volume 37, Number 5, March 1991, s. 519-531.
  • Markowitz, Harry M., Portfolio Selection: Efficient Diversification of Investments, (2nd Ed.), Basil Blackwell Inc., Massachusetts, 1991.
  • Moyer, R. Charles, James R. McGuigan ve William J. Kretlow, Contemporary Financial Management, (4th Ed.), West Publishing Company, USA, 1990. Prekopa, Andras, Stochastic Programming, Kluwer Academic Publishers, Hungary, 1995.
  • Prakash A.J., C.H. Chang ve T.E. Pactwa, “Selecting Portfolio with Skewness: Recent Evidence from US, European and Latin American Equity Markets”, Journal of Banking & Finance, Volume 7, Number 27, July 2003, s. 1375-1390.
  • Steuer, Ralph E.ve Paul Na, “Multiple Critaria Decision Making Combined with Finance:A Categorized Bibliographic Study”, European Journal of Operational Research, Number 150, 2003, s. 496-515.
  • Winston, Wayne L., Operations Research: Applications and Algorithms, (4th Ed.), Brooks/Cole -Thomson Learning, USA, 2004.
  • Winston, Wayne L. ve S. Christian Albright, Practical Management Science, (2nd Ed.), Duxbury -Thomson Learning, USA, 2001.
  • Wismer, David A., R. Chattergy, Introduction to Nonlinear Optimization: A Problem Solving Approach, Elsevier North-Holland Inc., New York, 1978.
  • Xu, Jiuping ve Jun Li, “A Class of Stochastic Optimization Problems with One Quadratic & Several Linear Objective Functions and Extended Portfolio Selection Model”, Journal of Computational and Applied Mathematics, Number 146, 2002, s. 99-113.
Toplam 14 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Araştırma Makalesi
Yazarlar

Eyüp Çetin Bu kişi benim

Yayımlanma Tarihi 1 Ocak 2005
Yayımlandığı Sayı Yıl 2005 Sayı: 14

Kaynak Göster

APA Çetin, E. (2005). PORTFÖY SEÇİMİNE ÇOK AMAÇLI YAKLAŞIM: DOĞRUSAL OLMAYAN HEDEF PROGRAMLAMA MODELİ. Muhasebe Ve Denetime Bakış(14), 57-74.