Year 2018, Volume , Issue , Pages 415 - 432 2018-01-18

YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU
PORTFOLIO OPTIMIZATION BASED ON HIGHER ORDER MOMENTS AND FUZZY ENTROPY

Osman Pala [1] , Mehmet Aksaraylı [2]

155 407

Tarihsel getirilerin normal dağıldığı varsayımına dayanan ortalama varyans modelinin etkinliği, hisse senetleri getiri serileri normal dağılım göstermediğinde düşmektedir. Modelin etkinliğini artırmak ve getiri serilerinin dağılışını daha iyi modele aktarabilmek için yüksek dereceden momentler modele eklenmektedir. Ortalama varyans modeli ve varyantlarının bir başka karşılaştığı problem ise modellerin sıklıkla ürettiği köşe çözümlerdir. Belirli hisse senetlerine yığılmayı önlemek ve doğal çeşitliliği artırmak için entropi fonksiyonu kullanılmaktadır. Fakat entropi fonksiyonları karar vericinin bakış açısından uzak ve diğer amaç fonksiyonlarına baskınlık kuran sonuçlar üretebilmektedir. Çalışmada, değinilen sorunları aşmak için yeni bir bulanık entropi tanımlanmış,  yeni bir ortalama-varyans-çarpıklık-basıklık-bulanık entropi portföy seçim modeli önerilmiş ve önerilen modelin etkililiğini göstermek için, iki gerçek veri seti üzerindeki deneyler, çeşitli portföy hedefleri ve karar vericilerin tercihleri kullanılarak gerçekleştirilmiştir. Entropi ve bulanık entropi, amaç fonksiyonu olarak yüksek momentleri içeren portföy modelleri açısından karşılaştırılmıştır. Bulgular, önerilen bulanık entropi yaklaşımının, özellikle yüksek dereceden momentli portföy modelleri için daha uygun olduğunu göstermektedir.

The effectiveness of the mean variance model, which is based on the assumption that the historical returns are normally distributed, falls when the series of stock returns do not follow a normal distribution. In order to increase the efficiency of the model and to cover the properties of the return series’ distribution better, higher order moments are added to the model. Mean variance model and its variants are often facing another problem, corner solutions that models often produce. Entropy function is used to prevent accumulation in certain stocks and to increase natural diversity. Entropy functions, however, can be far from the decision maker's point of view and can also produce results that dominate other objective functions. In the study, a new mean-variance-skewness-kurtosis-fuzzy entropy portfolio selection model with a new defined fuzzy entropy has been proposed to overcome the problems mentioned and experiments was performed on two real data sets to show the effectiveness of the proposed model with using various portfolio objectives and preferences of decision makers. Entropy and fuzzy entropy are compared in basis of portfolio models which have higher moments. Results present that proposed fuzzy entropy approach is better-suited especially with higher-moment portfolio models.

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Subjects Social
Journal Section Articles
Authors

Author: Osman Pala
Institution: DOKUZ EYLÜL ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
Country: Turkey


Author: Mehmet Aksaraylı
Institution: DOKUZ EYLÜL ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
Country: Turkey


Dates

Publication Date: January 18, 2018

Bibtex @research article { ulikidince351487, journal = {Uluslararası İktisadi ve İdari İncelemeler Dergisi}, issn = {1307-9832}, eissn = {1307-9859}, address = {Kenan ÇELİK}, year = {2018}, volume = {}, pages = {415 - 432}, doi = {10.18092/ulikidince.351487}, title = {YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU}, key = {cite}, author = {Pala, Osman and Aksaraylı, Mehmet} }
APA Pala, O , Aksaraylı, M . (2018). YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (), 415-432. DOI: 10.18092/ulikidince.351487
MLA Pala, O , Aksaraylı, M . "YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2018): 415-432 <http://dergipark.org.tr/ulikidince/issue/34379/351487>
Chicago Pala, O , Aksaraylı, M . "YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU". Uluslararası İktisadi ve İdari İncelemeler Dergisi (2018): 415-432
RIS TY - JOUR T1 - YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU AU - Osman Pala , Mehmet Aksaraylı Y1 - 2018 PY - 2018 N1 - doi: 10.18092/ulikidince.351487 DO - 10.18092/ulikidince.351487 T2 - Uluslararası İktisadi ve İdari İncelemeler Dergisi JF - Journal JO - JOR SP - 415 EP - 432 VL - IS - SN - 1307-9832-1307-9859 M3 - doi: 10.18092/ulikidince.351487 UR - https://doi.org/10.18092/ulikidince.351487 Y2 - 2018 ER -
EndNote %0 International Journal of Economics and Administrative Studies YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU %A Osman Pala , Mehmet Aksaraylı %T YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU %D 2018 %J Uluslararası İktisadi ve İdari İncelemeler Dergisi %P 1307-9832-1307-9859 %V %N %R doi: 10.18092/ulikidince.351487 %U 10.18092/ulikidince.351487
ISNAD Pala, Osman , Aksaraylı, Mehmet . "YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU". Uluslararası İktisadi ve İdari İncelemeler Dergisi / (January 2018): 415-432. https://doi.org/10.18092/ulikidince.351487
AMA Pala O , Aksaraylı M . YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU. IJEAS. 2018; 415-432.
Vancouver Pala O , Aksaraylı M . YÜKSEK DERECEDEN MOMENTLER VE BULANIK ENTROPİYE DAYALI PORTFÖY OPTİMİZASYONU. Uluslararası İktisadi ve İdari İncelemeler Dergisi. 2018; 432-415.