Research Article
Portföy Seçiminde Analitik Hiyerarşi Sürecinin Kullanılması: Kantitatif ve Temel Analizi Birleştiren Hibrit Bir Yaklaşım
Abstract
Portföy seçiminde kantitatif ve temel analizin birlikte dikkate alınması yararlı olabilir. Bu nedenle bu tür analizleri birleştiren hibrit bir yaklaşım bu çalışmada önerilmiştir. Önerilen yaklaşım Analitik Hiyerarşi Sürecine (AHS) dayanmaktadır ve BIST 30’daki bankacılık hisselerine ait veri seti kullanılarak tanıtılmıştır. Ayrıca önerilen yaklaşımdan ve literatürdeki alternatiflerinden elde edilen geriye dönük test sonuçları karşılaştırılmıştır. Yapılan uygulamada eğitim periyodu 2016’nın son üç ayı ve 2017’nin ilk on ayından oluşmakta iken test periyodu 2017’nin son iki ayından oluşmaktadır.
Supporting Institution
Yok
Project Number
Yok
References
- Akar, C. (2015). Türkiye Hisse Senedi Piyasasında Likidite Ölçülerinin Karşılaştırılması ve Likidite Volatilitesi Hisse Senedi Getirisi Arasındaki İlişki. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(1), 31-48.
- Breuer, T. (2006). Providing Against the Worst: Risk Capital for Worst Case Scenarios. Managerial Finance, 32(9), 716–730.
- Breuer, T., Jandacka, M., Rheinberger, K. ve Summer, M. (2010). Does Adding Up of Economic Capital for Market and Credit Risk amount to Conservative Risk Assessment? Journal of Banking & Finance, 34(4), 703–712.
- Brigo, D., Dalessandro, A., Neugebauer, M. ve Triki, F. (2007). A Stochastic Processes Toolkit for Risk Management.
- De Miguel, V., Garlappi, L., Nogales, F. J., ve Uppal, J. (2009). A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms, Management Science, 55(5), 798 - 812.
- Deb, K. (2001). Multi-Objective Optimization Using Evolutionary Algorithms. Wiley.
- Garlappi, L., Uppal, R. ve Wang, T. (2006). Portfolio Selection with Parameter and Model Uncertainty: A Multi-prior Approach. The Review of Financial Studies, 20(1), 41-81.
- Jorion, P. (2007). Value at Risk. - The New Benchmark for Managing Financial Risk. McGraw–Hill.
- Levy, H. ve Robinson, M. (2016). Stochastic Dominance: Investment Decision Making Under Uncertainty. Springer.
- Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.
- Okhrin, Y. ve Schmid, W. (2006). Distributional Properties of Portfolio Weights, Journal of Econometrics, 134(1), 235-256.
- Saaty, T. L. (2003). Decision Making with the AHP: Why is the Principal Eigenvector Necessary. European Journal of Operational Research, 145(1), 85-91.
- Saaty, T. L. (2004). Decision Making - The Analytic Hierarchy and Network Processes (AHP/ANP). Journal of Systems Science and Systems Engineering, 13(1), 1-35.
- Saaty, T. L., Rogers, P. C. ve Pell, R. (1980). Portfolio Selection Through Hierarchies. The Journal of Portfolio Management, 6(3), 16-21.
- Saaty, T. L. ve Vargas L. G. (2012). Models, Methods, Concepts & Applications of The Analytical Hierarchy Process. Springer.
- Tiryaki, F. ve Ahlatcioglu, B. (2009). Fuzzy Portfolio Selection Using Fuzzy Analytic Hierarchy Process. Information Sciences, 179(1), 53-69.
Using Analytical Hierarchy Process in Portfolio Selection: A Hybrid Approach Combining the Quantitative and Fundamental Analyses
Abstract
Project Number
Yok
References
- Akar, C. (2015). Türkiye Hisse Senedi Piyasasında Likidite Ölçülerinin Karşılaştırılması ve Likidite Volatilitesi Hisse Senedi Getirisi Arasındaki İlişki. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(1), 31-48.
- Breuer, T. (2006). Providing Against the Worst: Risk Capital for Worst Case Scenarios. Managerial Finance, 32(9), 716–730.
- Breuer, T., Jandacka, M., Rheinberger, K. ve Summer, M. (2010). Does Adding Up of Economic Capital for Market and Credit Risk amount to Conservative Risk Assessment? Journal of Banking & Finance, 34(4), 703–712.
- Brigo, D., Dalessandro, A., Neugebauer, M. ve Triki, F. (2007). A Stochastic Processes Toolkit for Risk Management.
- De Miguel, V., Garlappi, L., Nogales, F. J., ve Uppal, J. (2009). A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms, Management Science, 55(5), 798 - 812.
- Deb, K. (2001). Multi-Objective Optimization Using Evolutionary Algorithms. Wiley.
- Garlappi, L., Uppal, R. ve Wang, T. (2006). Portfolio Selection with Parameter and Model Uncertainty: A Multi-prior Approach. The Review of Financial Studies, 20(1), 41-81.
- Jorion, P. (2007). Value at Risk. - The New Benchmark for Managing Financial Risk. McGraw–Hill.
- Levy, H. ve Robinson, M. (2016). Stochastic Dominance: Investment Decision Making Under Uncertainty. Springer.
- Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.
- Okhrin, Y. ve Schmid, W. (2006). Distributional Properties of Portfolio Weights, Journal of Econometrics, 134(1), 235-256.
- Saaty, T. L. (2003). Decision Making with the AHP: Why is the Principal Eigenvector Necessary. European Journal of Operational Research, 145(1), 85-91.
- Saaty, T. L. (2004). Decision Making - The Analytic Hierarchy and Network Processes (AHP/ANP). Journal of Systems Science and Systems Engineering, 13(1), 1-35.
- Saaty, T. L., Rogers, P. C. ve Pell, R. (1980). Portfolio Selection Through Hierarchies. The Journal of Portfolio Management, 6(3), 16-21.
- Saaty, T. L. ve Vargas L. G. (2012). Models, Methods, Concepts & Applications of The Analytical Hierarchy Process. Springer.
- Tiryaki, F. ve Ahlatcioglu, B. (2009). Fuzzy Portfolio Selection Using Fuzzy Analytic Hierarchy Process. Information Sciences, 179(1), 53-69.
There are 16 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Business Administration |
| Journal Section | Articles |
| Authors | |
| Project Number | Yok |
| Early Pub Date | December 31, 2021 |
| Publication Date | December 31, 2021 |
| Published in Issue | Year 2021 Volume: 5 Issue: 2 |
