Research Article
Year 2023,
Volume: 7 Issue: 2, 223 - 239, 31.12.2023
Abstract
Bu çalışmada, portföy seçimi problemi Markowitz (1952)’in ortalama-varyans (OV) modeli ve bu modelin bazı eksikliklerini gidereceği düşünülen ortogonal olabilirlik OV modeli ile incelenmiştir. Çalışmanın veri setini, BIST Katılım Sürdürülebilirlik Endeksinde yer alan sekiz adet hizmet sektörü şirketinin hisse senetlerine ait 01.01.2021 ve 31.12.2021 tarihleri arasındaki haftalık logaritmik getiri serileri oluşturmaktadır. Çalışmada, ortogonal OV modelinin veri setindeki asimetriyi dikkate alması nedeniyle Markowitz’in OV modelinden daha iyi sonuçlar verdiği sonucuna ulaşılmıştır. Bununla birlikte risk minimizasyonu odaklı yaklaşımın performans maksimizasyonu odaklı yaklaşımdan daha iyi sonuçlar verdiği tespit edilmiştir.
Keywords
BIST Bulanık Mantık İslami Finans Katılım Endeksi Olabilirlik Teorisi Portföy Seçimi Sürdürülebilirlik
References
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- Duran, A. ve Bommarito, M. J. (2011). A profitable trading and risk management strategy despite transaction costs. Quantitative Finance, 11(6), 829-848. doi.org/10.1080/14697680903449815
- 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. doi.org/10.1093/rfs/hhl003
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- Li, X., Qin, Z. ve Kar, S. (2010). Mean-variance-skewness model for portfolio selection with fuzzy returns. European Journal of Operational Research, 202(1), 239-247. doi:10.1016/j.ejor.2009.05.003
- Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. doi.org/10.2307/2975974
- Mounir, A. M. (2021). Prudence and temperance in portfolio selection with Shariah-compliant investments. International Journal of Islamic and Middle Eastern Finance and Management, 14(4), 753-766. doi:10.1108/IMEFM-07-2019-0292
- Mussafi, N. S. M. ve Ismail, Z. (2021). Optimum risk-adjusted Islamic stock portfolio using the quadratic programming model: An Empirical Study in Indonesia. The Journal of Asian Finance, Economics and Business, 8(5), 839-850. doi:10.13106/JAFEB.2021.VOL8.NO5.0839
- Okhrin, Y. ve Schmid, W. (2006). Distributional properties of portfolio weights, Journal of Econometrics, 134(1), 235-256. doi.org/10.1016/j.jeconom.2005.06.022
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- Tekin, H. ve Güçlü, F. (2023). Environmental, social, governance investing, covid-19, and corporate performance in Muslim countries. Journal of Islamic Monetary Economics and Finance, 9(1), 107-132. doi:10.21098/jimf.v9i1.1592
Year 2023,
Volume: 7 Issue: 2, 223 - 239, 31.12.2023
Abstract
References
- Alam, A., Tri Ratnasari, R., Latifathul Jannah, I. ve El Ashfahany, A. (2023). Development and evaluation of Islamic green financing: a systematic review of green sukuk. Environmental Economics, 14(1), 61-72. doi:10.21511/ee.14(1).2023.06
- Bhattacharyya, R., Kar, S. ve Majumder, D. D. (2011). Fuzzy mean–variance–skewness portfolio selection models by interval analysis. Computers & Mathematics with Applications, 61(1), 126-137. doi.org/10.1016/j.camwa.2010.10.039
- Borsa İstanbul. (2023a). Sürdürülebilirlik Endeksleri. 20 Haziran 2023 tarihinde https://borsaistanbul.com/tr/sayfa/165/bist-surdurulebilirlik-endeksleri adresinden erişildi.
- Borsa İstanbul. (2023b). Katılım. 22 Temmuz 2023 tarihinde https://borsaistanbul.com/tr/sayfa/165/bist-surdurulebilirlik-endeksleri adresinden erişildi.
- 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. https://www.jstor.org/stable/40539189
- Duran, A. ve Bommarito, M. J. (2011). A profitable trading and risk management strategy despite transaction costs. Quantitative Finance, 11(6), 829-848. doi.org/10.1080/14697680903449815
- 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. doi.org/10.1093/rfs/hhl003
- Ghoul, W. ve Karam, P. (2007). MRI ve SRI mutual funds: a comparison of Christian, Islamic (morally responsible investing), and socially responsible investing (SRI) mutual funds. The Journal of Investing, 16(2), 96-102. doi:10.3905/joi.2007.686416
- Göktaş, F. ve Duran. A. (2019). A new possibilistic mean-variance model based on the principal components analysis: An application on the Turkish holding stocks. Journal of Multiple-Valued Logic & Soft Computing, 32(5-6), 455-476.
- Göktaş, F. (2023). Ortogonal olabilirlik ortalama – varyans modeli. Osmaniye Korkut Ata Üniversitesi Fen Bilimleri Enstitüsü Dergisi, 6(Ek Sayı), 29-41. doi.org/10.47495/okufbed.1217550
- Güçlü, F. (2019). The rise of environmental consciousness in Islamic finance: green sukuk. C. Aydin ve B. Darici (Ed.), Handbook of Energy and Environment Policy içinde (ss. 245-259). Berlin: Peter Lang. doi:10.3726/b16350
- Güçlü, F. (2022). İslami duyarlılık portföy performansını etkiler mi? İslami hisse senedi yatırımlarına farklı bir bakış açısı. TESAM Akademi Dergisi, 9(1), 105-128. doi:10.30626/tesamakademi.1022807
- Li, X., Qin, Z. ve Kar, S. (2010). Mean-variance-skewness model for portfolio selection with fuzzy returns. European Journal of Operational Research, 202(1), 239-247. doi:10.1016/j.ejor.2009.05.003
- Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. doi.org/10.2307/2975974
- Mounir, A. M. (2021). Prudence and temperance in portfolio selection with Shariah-compliant investments. International Journal of Islamic and Middle Eastern Finance and Management, 14(4), 753-766. doi:10.1108/IMEFM-07-2019-0292
- Mussafi, N. S. M. ve Ismail, Z. (2021). Optimum risk-adjusted Islamic stock portfolio using the quadratic programming model: An Empirical Study in Indonesia. The Journal of Asian Finance, Economics and Business, 8(5), 839-850. doi:10.13106/JAFEB.2021.VOL8.NO5.0839
- Okhrin, Y. ve Schmid, W. (2006). Distributional properties of portfolio weights, Journal of Econometrics, 134(1), 235-256. doi.org/10.1016/j.jeconom.2005.06.022
- Taş, O., Kahraman, C. ve Guran, C. B. (2016). A scenario based linear fuzzy approach in portfolio selection problem: application in the Istanbul Stock Exchange. Journal of Multiple-Valued Logic & Soft Computing, 26(3-5), 269-294.
- Tekin, H. ve Güçlü, F. (2023). Environmental, social, governance investing, covid-19, and corporate performance in Muslim countries. Journal of Islamic Monetary Economics and Finance, 9(1), 107-132. doi:10.21098/jimf.v9i1.1592
There are 19 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Finance |
| Journal Section | Articles |
| Authors | |
| Early Pub Date | December 31, 2023 |
| Publication Date | December 31, 2023 |
| Submission Date | November 9, 2023 |
| Acceptance Date | December 31, 2023 |
| Published in Issue | Year 2023 Volume: 7 Issue: 2 |
