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Year 2011, Issue: 13, 41 - 61, 08.06.2011

Gülder Kemalbay , Cemal Murat Özkut , Ceki Franko

Abstract

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Keywords

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References

  • A. J. Prakash, C. H. Chang and T. E. Pactwa. 2003. Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets. Journal of Banking and Finance 27: 1111-1121.
  • Arditti, F. D. 1971. Another Look at Mutual Fund Performance. Journal of Financial and Quantitative Analysis 6:909-912.
  • Arditti, F. D. and Levy, H. 1975. Portfolio Efficiency Analysis in Three Moments: The Multi-period Case. Journal of Finance 30:797-809.
  • Athayde, G. and Flores, R. 2004. Finding a Maximum Skewness Portfolio: A General Solution to Three-Moments Portfolio Choice. Journal of Economic Dynamics&Control 28: 1335-1352.
  • Chang, T. J., Meade, N., Beasley, J. E. and Sharaiha, Y. M. 2000. Heuristics for Cardinality Constrained Portfolio Optimisation. Computers&Operations Research 27:1271- 1302.
  • Chunhachinda, P., Dandapani, K., Hamid, S. and Prakash A. J. 1997. Portfolio Selecion and Skewness: Evidence from International Stock Market. Journal of Banking and Finance 21:143-167.
  • Davies, R. J., Kat, H. M. and Lu, S. 2009. Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach. Journal of Derivatives and Hedge Funds. 15:2:91-115
  • Elton, E. J. and Martin, J. G. 1997. Modern Portfolio Theory, 1950 to date. Journal of Banking&Finance 21:1743-1759.
  • Fama, E. F.1965. The Behaviour of Stock Market Prices. Journal of Business 38:34- 105.
  • Haas, M. 2007. Do Investors Dıslike Kurtosis?. Economics Bulletin 7:1-9.
  • Harvey C. R. and Siddique A.. 1999. Autoregressive Conditional Skewness. Journal of Finance :34:116-131.
  • Jurczenko, E. and Maillet, B. 2005-a. Theoretical Foundations of Asset Allocation and Pricing Models with Higher-order Moments in Multi-moment Asset Allocation and Pricing Models. John Wiley & Sons, New York.
  • Jurczenko, E. and Maillet, B. 2005-b. The Four-moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation. Springer-Verlag.
  • Jurczenko, E., Maillet, B. and Merlin, P. 2006. Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier in Multi-moment Asset Allocation and Pricing Models. Ed. by E. Jurczenko, B. Maillet. Sussex, John Wiley.
  • Kane, A. 1982. Skewness Preference and Portfolio Choice. Journal of Financial and Quantitative Analysis 17:15-25.
  • Kraus, A. and Litzenberger, R. 1976. Skewness Preference and the Valuation of Risk Assets. Journal of Finance 31:1085-1094.
  • Konno, H.; Suzuki, K. 1995. A Mean-Variance-Skewness Portfolio Optimization Model. Journal of the Operations Research Society of Japan 38: 173–187.
  • Lai, T-Y. 1991. Portfolio Selection with Skewness: A Multiple-Objective Approach. Review of Quantitative Finance and Accounting 1:293-305.
  • Lai, K. K., Yu, L. and Wang, S. 2006. Mean-Variance-Skewness-Kurtosis-based Portfolio Optimization. Proceedings of the First International Multi-Symposiums on Computer and Computational Sciences 2:292-297
  • Levy, H. and Sarnat, M. 1972 Investment and Portfolio Analysis. John Wiley&Sons, Inc, New York.
  • Maillet, B. B. 2007. Absolute and Asymmetric Robust Asset Allocations by Extension of the CAPM. Presentation for the 5th Europlace Institute of Finance International Meeting, Paris.
  • Mandelbrot, B. 1963. The Variation of Certain Speculative Prices Journal of Business 36(4): 394-419.
  • Markowitz, H. 1952. Portfolio Selection. Journal of Finance 8:77-91.
  • Markowitz, H. 1959. Portfolio Selection Efficient Diversification of Investments. John Wiley&Sons, Inc, New York.
  • Mhiri, M. and Prigent, J. L. 2010. International Portfolio Optimization with Higher Moments 2:5.
  • Peiro, Amado. 1999. Skewness in Financial Returns. Journal of Banking and Finance 23: 847-862.
  • Prakash, A.; Chang, C. H. Pactwa, E. 2003. Selecting a Portfolio with Skewness: recent Evidence from US, European, and Latin America Equity Markets. Journal of Banking and Finance 27:1375–1390.
  • Premaratne, G. and Bera, K. A. 2000. Modeling Asymmetry and Excess Kurtosis in Stock Return Data. Illinois Research & Reference Working Paper No. 00-123. Rubinstein, M. 2002. Markowitz’s Portfolio Selection: A Fifty-Year Retrospective, The Journal of Finance 57:1041-1045.
  • Samuelson, P. 1970. The Fundamental Approximation of Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments, Review of Economic Studies 37:537-542.
  • Scott, R. C. and Horvath, P. A. 1980. On the Direction of Preference for Moments of Higher Order than the Variance. The Journal of Finance 35:915-919.
  • Tayi, G. and Leonard, P. 1988. Bank Balance-Sheet Management: An Alternative Multi-Objective Model, Journal of the Operational Research Society 39: 401-410.
  • Taylan, S. A. and Tatlıdil, H. 2010. International Conference 24th Mini EURO Conference Continuous Optimization and Information-Based Technologies in the Financial Sector, Izmir, Turkey.
  • Qi-fa Xu, Cui-xia, J. and Pu, K. 2007. Dynamic Portfolio Selection with Higher Moments Risk Based on Polynomial Goal Programming. International Conference on Management Science & Engineering, Harbin, P.R. China.
  • Wang, S. ve Xia, Y. 2002. Portfolio Selection and Asset Pricing”, Springer-Verlag, Berlin.
  • Yu, L., Wang, S. and Lai, K. K. 2008. Neural Network-Based Mean-Variance- Skewness Model for Portfolio Selection”, Computers&Operations Research 35:34-46. Appendix
  • Table 6. The Variance-Covariance (ij) Matrix

Year 2011, Issue: 13, 41 - 61, 08.06.2011

Gülder Kemalbay , Cemal Murat Özkut , Ceki Franko

Abstract

Bu makalenin amacı, çarpıklık ve basıklık gibi yüksek getiri momentleri için yatırımcının tercihlerini göz
önüne alan bir portföy seçimi modeli önermektir. Çarpıklık ve basıklığın varlığında, portföy seçimi problemi,
eş zamanlı olarak beklenen getiri ve çarpıklığın maksimizasyonu ile risk ve basıklığın minimize edilmesi gibi
birbiri ile çelişen ve rekabet eden amaç fonksiyonları ile karakterize edilir. Polinomsal hedef programlama
oluşturarak, Ocak 2005-Aralık 2010 periyodu için Türk Borsası’nda bir örnek sunulacaktır.

Keywords

Ortalama-Varyans-Çarpıklık-Basıklık Portföy Modeli Polinomsal Hedef Programlama Risk Tercihi

References

  • A. J. Prakash, C. H. Chang and T. E. Pactwa. 2003. Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets. Journal of Banking and Finance 27: 1111-1121.
  • Arditti, F. D. 1971. Another Look at Mutual Fund Performance. Journal of Financial and Quantitative Analysis 6:909-912.
  • Arditti, F. D. and Levy, H. 1975. Portfolio Efficiency Analysis in Three Moments: The Multi-period Case. Journal of Finance 30:797-809.
  • Athayde, G. and Flores, R. 2004. Finding a Maximum Skewness Portfolio: A General Solution to Three-Moments Portfolio Choice. Journal of Economic Dynamics&Control 28: 1335-1352.
  • Chang, T. J., Meade, N., Beasley, J. E. and Sharaiha, Y. M. 2000. Heuristics for Cardinality Constrained Portfolio Optimisation. Computers&Operations Research 27:1271- 1302.
  • Chunhachinda, P., Dandapani, K., Hamid, S. and Prakash A. J. 1997. Portfolio Selecion and Skewness: Evidence from International Stock Market. Journal of Banking and Finance 21:143-167.
  • Davies, R. J., Kat, H. M. and Lu, S. 2009. Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach. Journal of Derivatives and Hedge Funds. 15:2:91-115
  • Elton, E. J. and Martin, J. G. 1997. Modern Portfolio Theory, 1950 to date. Journal of Banking&Finance 21:1743-1759.
  • Fama, E. F.1965. The Behaviour of Stock Market Prices. Journal of Business 38:34- 105.
  • Haas, M. 2007. Do Investors Dıslike Kurtosis?. Economics Bulletin 7:1-9.
  • Harvey C. R. and Siddique A.. 1999. Autoregressive Conditional Skewness. Journal of Finance :34:116-131.
  • Jurczenko, E. and Maillet, B. 2005-a. Theoretical Foundations of Asset Allocation and Pricing Models with Higher-order Moments in Multi-moment Asset Allocation and Pricing Models. John Wiley & Sons, New York.
  • Jurczenko, E. and Maillet, B. 2005-b. The Four-moment Capital Asset Pricing Model: Between Asset Pricing and Asset Allocation. Springer-Verlag.
  • Jurczenko, E., Maillet, B. and Merlin, P. 2006. Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier in Multi-moment Asset Allocation and Pricing Models. Ed. by E. Jurczenko, B. Maillet. Sussex, John Wiley.
  • Kane, A. 1982. Skewness Preference and Portfolio Choice. Journal of Financial and Quantitative Analysis 17:15-25.
  • Kraus, A. and Litzenberger, R. 1976. Skewness Preference and the Valuation of Risk Assets. Journal of Finance 31:1085-1094.
  • Konno, H.; Suzuki, K. 1995. A Mean-Variance-Skewness Portfolio Optimization Model. Journal of the Operations Research Society of Japan 38: 173–187.
  • Lai, T-Y. 1991. Portfolio Selection with Skewness: A Multiple-Objective Approach. Review of Quantitative Finance and Accounting 1:293-305.
  • Lai, K. K., Yu, L. and Wang, S. 2006. Mean-Variance-Skewness-Kurtosis-based Portfolio Optimization. Proceedings of the First International Multi-Symposiums on Computer and Computational Sciences 2:292-297
  • Levy, H. and Sarnat, M. 1972 Investment and Portfolio Analysis. John Wiley&Sons, Inc, New York.
  • Maillet, B. B. 2007. Absolute and Asymmetric Robust Asset Allocations by Extension of the CAPM. Presentation for the 5th Europlace Institute of Finance International Meeting, Paris.
  • Mandelbrot, B. 1963. The Variation of Certain Speculative Prices Journal of Business 36(4): 394-419.
  • Markowitz, H. 1952. Portfolio Selection. Journal of Finance 8:77-91.
  • Markowitz, H. 1959. Portfolio Selection Efficient Diversification of Investments. John Wiley&Sons, Inc, New York.
  • Mhiri, M. and Prigent, J. L. 2010. International Portfolio Optimization with Higher Moments 2:5.
  • Peiro, Amado. 1999. Skewness in Financial Returns. Journal of Banking and Finance 23: 847-862.
  • Prakash, A.; Chang, C. H. Pactwa, E. 2003. Selecting a Portfolio with Skewness: recent Evidence from US, European, and Latin America Equity Markets. Journal of Banking and Finance 27:1375–1390.
  • Premaratne, G. and Bera, K. A. 2000. Modeling Asymmetry and Excess Kurtosis in Stock Return Data. Illinois Research & Reference Working Paper No. 00-123. Rubinstein, M. 2002. Markowitz’s Portfolio Selection: A Fifty-Year Retrospective, The Journal of Finance 57:1041-1045.
  • Samuelson, P. 1970. The Fundamental Approximation of Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments, Review of Economic Studies 37:537-542.
  • Scott, R. C. and Horvath, P. A. 1980. On the Direction of Preference for Moments of Higher Order than the Variance. The Journal of Finance 35:915-919.
  • Tayi, G. and Leonard, P. 1988. Bank Balance-Sheet Management: An Alternative Multi-Objective Model, Journal of the Operational Research Society 39: 401-410.
  • Taylan, S. A. and Tatlıdil, H. 2010. International Conference 24th Mini EURO Conference Continuous Optimization and Information-Based Technologies in the Financial Sector, Izmir, Turkey.
  • Qi-fa Xu, Cui-xia, J. and Pu, K. 2007. Dynamic Portfolio Selection with Higher Moments Risk Based on Polynomial Goal Programming. International Conference on Management Science & Engineering, Harbin, P.R. China.
  • Wang, S. ve Xia, Y. 2002. Portfolio Selection and Asset Pricing”, Springer-Verlag, Berlin.
  • Yu, L., Wang, S. and Lai, K. K. 2008. Neural Network-Based Mean-Variance- Skewness Model for Portfolio Selection”, Computers&Operations Research 35:34-46. Appendix
  • Table 6. The Variance-Covariance (ij) Matrix
There are 36 citations in total.

Details

Primary Language En
Journal Section Makaleler
Authors

Gülder Kemalbay

Cemal Murat Özkut

Ceki Franko This is me

Publication Date June 8, 2011
Published in Issue Year 2011 Issue: 13

Cite

APA Kemalbay, G., Özkut, C. M., & Franko, C. (2011). -. Istanbul University Econometrics and Statistics E-Journal(13), 41-61.
AMA Kemalbay G, Özkut CM, Franko C. -. Istanbul University Econometrics and Statistics e-Journal. June 2011;(13):41-61.
Chicago Kemalbay, Gülder, Cemal Murat Özkut, and Ceki Franko. “-”. Istanbul University Econometrics and Statistics E-Journal, no. 13 (June 2011): 41-61.
EndNote Kemalbay G, Özkut CM, Franko C (June 1, 2011) -. Istanbul University Econometrics and Statistics e-Journal 13 41–61.
IEEE G. Kemalbay, C. M. Özkut, and C. Franko, “-”, Istanbul University Econometrics and Statistics e-Journal, no. 13, pp. 41–61, June 2011.
ISNAD Kemalbay, Gülder et al. “-”. Istanbul University Econometrics and Statistics e-Journal 13 (June 2011), 41-61.
JAMA Kemalbay G, Özkut CM, Franko C. -. Istanbul University Econometrics and Statistics e-Journal. 2011;:41–61.
MLA Kemalbay, Gülder et al. “-”. Istanbul University Econometrics and Statistics E-Journal, no. 13, 2011, pp. 41-61.
Vancouver Kemalbay G, Özkut CM, Franko C. -. Istanbul University Econometrics and Statistics e-Journal. 2011(13):41-6.