BibTex RIS Kaynak Göster

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

Yıl 2016, Cilt: 2 Sayı: 1, 10 - 18, 01.06.2016

Oktay Tas Ali Sezin Ozdemir Kaya Tokmakcioglu

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

Öz

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

Anahtar Kelimeler

İkinci dereceden stokastik baskınlık portföy analizi SSD testi endeks üstü getiriler

Kaynakça

  • 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

Yıl 2016, Cilt: 2 Sayı: 1, 10 - 18, 01.06.2016

Oktay Tas Ali Sezin Ozdemir Kaya Tokmakcioglu

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

Öz

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

Anahtar Kelimeler

Second order stochastic dominance portfolio analysis SSD test returns over index

Kaynakça

  • 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.
Toplam 5 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA34HV62PC
Bölüm Makaleler
Yazarlar

Oktay Tas Bu kişi benim

Ali Sezin Ozdemir Bu kişi benim

Kaya Tokmakcioglu Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2016
Yayımlandığı Sayı Yıl 2016 Cilt: 2 Sayı: 1

Kaynak Göster

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. Haziran 2016;2(1):10-18. doi:10.17261/Pressacademia.2016118623
Chicago Tas, Oktay, Ali Sezin Ozdemir, ve Kaya Tokmakcioglu. “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”. PressAcademia Procedia 2, sy. 1 (Haziran 2016): 10-18. https://doi.org/10.17261/Pressacademia.2016118623.
EndNote Tas O, Ozdemir AS, Tokmakcioglu K (01 Haziran 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, ve K. Tokmakcioglu, “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”, PAP, c. 2, sy. 1, ss. 10–18, 2016, doi: 10.17261/Pressacademia.2016118623.
ISNAD Tas, Oktay vd. “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”. PressAcademia Procedia 2/1 (Haziran 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 vd. “PORTFOLIO ANALYSIS WITH SECOND ORDER STOCHASTIC DOMINANCE: AN IMPLEMENTATION ON BIST-100 INDEX”. PressAcademia Procedia, c. 2, sy. 1, 2016, ss. 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.

PressAcademia Procedia (PAP) publishes proceedings of conferences, seminars and symposiums. PressAcademia Procedia aims to provide a source for academic researchers, practitioners and policy makers in the area of social and behavioral sciences, and engineering.

PressAcademia Procedia invites academic conferences for publishing their proceedings with a review of editorial board. Since PressAcademia Procedia is an double blind peer-reviewed open-access book, the manuscripts presented in the conferences can easily be reached by numerous researchers. Hence, PressAcademia Procedia increases the value of your conference for your participants. 

PressAcademia Procedia provides an ISBN for each Conference Proceeding Book and a DOI number for each manuscript published in this book.

PressAcademia Procedia is currently indexed by DRJI, J-Gate, International Scientific Indexing, ISRA, Root Indexing, SOBIAD, Scope, EuroPub, Journal Factor Indexing and InfoBase Indexing. 

Please contact to procedia@pressacademia.org for your conference proceedings.