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İKİNCİ DERECEDEN STOKASTİK BASKINLIK YÖNTEMİ İLE PORTFÖY ANALİZİ BIST-100 ENDEKSİ ÜZERİNDE BİR UYGULAMA

Year 2016, , 10 - 18, 01.06.2016

Oktay Tas Ali Sezin Ozdemir Kaya Tokmakcioglu

https://doi.org/10.17261/Pressacademia.2016118623

Abstract

BIST-100 Endeksi referans alınarak yapılan yatırımlar veya endekse bağlı vadeli opsiyon araçları, endeksin düşüşe geçtiği dönemlerde yatırımcılar için negatif getiriye yani zarara sebep olur. Yatırım şirketleri, oluşturdukları fonlar ve yatırım araçları için, endeksin negatif hareketinden korunmak amacıyla bazı modeller geliştirirler. Normal dağılma şartı arayan, varyans maksimizasyonu yönteminin zayıflıklarını bertaraf eden, ikinci dereceden stokastik baskınlık yöntemi endeksin negatif hareketlerinden korunmak için geliştirilen modellerden bir tanesidir. Bu uygulamada geçmiş BIST-100 Endeksi verileri İkinci Dereceden Stokastik Baskınlık yöntemi ile test edilmiş ve ortaya çıkan baskın hisse senetlerinden oluşturulan portföyün getirisi ile BIST-100 Endeksi’nin aynı dönem içindeki getirisi karşılaştırılmıştır

Keywords

İkinci dereceden stokastik baskınlık portföy analizi SSD testi endeks üstü getiriler

References

  • Güran B., Taş O., 2014. Making Second Order Stochastic Dominance inefficient Mean Variance Portfolio efficient: Application in Turkish
  • BIST-30 Index. İktisat İşletme ve Finans Dergisi, 95-126. Güran B., 2015. Stochastic Dominance Lecture Notes. Istanbul Teknik Üniversitesi
  • Hatfield G., Louis C., Davidson W.i 1994. The Determination of Optimal Capital Structure: The Effect of Firm and Industry Debt Ratios on
  • Market Value. Journal of Financial and Strategic Decision, 3-13. Hanoch, G. and Levy, H., 1969. The Efficiency Analysis of Choice Involving Risk,
  • Review of Economic Studies, 36, 335-346.

PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX

Year 2016, , 10 - 18, 01.06.2016

Oktay Tas Ali Sezin Ozdemir Kaya Tokmakcioglu

https://doi.org/10.17261/Pressacademia.2016118623

Abstract

Investments which are made by referencing BIST-100 or derivative instruments clinged to index may cause negative returns during the periods of negative index. Investment firms develops various models for their funds and investment instruments in order to avoid negative movements of indexes. Second order stochastic dominance, which removes the weakpoints of ormal distribution-variance maximization method, is one of developed models to protect from negative return movements of indexes. In this implementation, BIST-100 Index datas are tested with second order stochastic dominance method, and dominant stocks, which are going to be a new portfolio and stemmed from BIST-100 index, are defined. In the subsequent process, the performance between this new portfolio and BIST-100 Index is compared

Keywords

Second order stochastic dominance portfolio analysis SSD test returns over index

References

  • Güran B., Taş O., 2014. Making Second Order Stochastic Dominance inefficient Mean Variance Portfolio efficient: Application in Turkish
  • BIST-30 Index. İktisat İşletme ve Finans Dergisi, 95-126. Güran B., 2015. Stochastic Dominance Lecture Notes. Istanbul Teknik Üniversitesi
  • Hatfield G., Louis C., Davidson W.i 1994. The Determination of Optimal Capital Structure: The Effect of Firm and Industry Debt Ratios on
  • Market Value. Journal of Financial and Strategic Decision, 3-13. Hanoch, G. and Levy, H., 1969. The Efficiency Analysis of Choice Involving Risk,
  • Review of Economic Studies, 36, 335-346.
There are 5 citations in total.

Details

Other ID JA34HV62PC
Journal Section Articles
Authors

Oktay Tas This is me

Ali Sezin Ozdemir This is me

Kaya Tokmakcioglu This is me

Publication Date June 1, 2016
Published in Issue Year 2016

Cite

APA Tas, O., Ozdemir, A. S., & Tokmakcioglu, K. (2016). PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX. PressAcademia Procedia, 2(1), 10-18. https://doi.org/10.17261/Pressacademia.2016118623
AMA Tas O, Ozdemir AS, Tokmakcioglu K. PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX. PAP. June 2016;2(1):10-18. doi:10.17261/Pressacademia.2016118623
Chicago Tas, Oktay, Ali Sezin Ozdemir, and Kaya Tokmakcioglu. “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”. PressAcademia Procedia 2, no. 1 (June 2016): 10-18. https://doi.org/10.17261/Pressacademia.2016118623.
EndNote Tas O, Ozdemir AS, Tokmakcioglu K (June 1, 2016) PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX. PressAcademia Procedia 2 1 10–18.
IEEE O. Tas, A. S. Ozdemir, and K. Tokmakcioglu, “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”, PAP, vol. 2, no. 1, pp. 10–18, 2016, doi: 10.17261/Pressacademia.2016118623.
ISNAD Tas, Oktay et al. “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”. PressAcademia Procedia 2/1 (June 2016), 10-18. https://doi.org/10.17261/Pressacademia.2016118623.
JAMA Tas O, Ozdemir AS, Tokmakcioglu K. PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX. PAP. 2016;2:10–18.
MLA Tas, Oktay et al. “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”. PressAcademia Procedia, vol. 2, no. 1, 2016, pp. 10-18, doi:10.17261/Pressacademia.2016118623.
Vancouver Tas O, Ozdemir AS, Tokmakcioglu K. PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX. PAP. 2016;2(1):10-8.

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