Bist 30 Endeksinde Entropi Ve Yüksek Momentlerle Topsıs Ve Promethee Tabanlı Çok Amaçlı Portföy Seçimi Modeli Önerisi

Yıl 2017, Cilt: 4 Sayı: 4, 171 - 188, 28.12.2017

Osman Pala , Mehmet Aksaraylı

https://doi.org/10.30803/adusobed.356170

Cited By: 2

Öz

Modern dönemde portföy seçimi, finansal karar vericilerin
ilgilendiği ve önceden tanımlı kısıtlamalar ile hedefler doğrultusunda optimum
portföy seçimi olarak tanımlanabilecek, finansın önemli bir konusudur.
Portföyler, getirileri politik kriz, finansal dalgalanmalar ve teknolojik
gelişmeler gibi farklı olaylardan etkilenebilecek birden fazla sayıda hisse
senedinden oluşmaktadır. Markowitz tarafından tanımlanan Modern Portföy Teorisi
ve Ortalama Varyans modeli sayesinde portföy riskinin düşürülebilmesi ilk defa
mantıklı bir yapıya oturmuştur. Teoriye göre karar verici, portföy riskini
kendi aralarında pozitif korelasyona sahip olan hisse senetlerini birlikte
portföye dahil etmeyerek düşürebilmektedir. Çalışmada, portföy seçim problemi
için iki aşamalı çok amaçlı portföy seçim modeli önerilmiştir. İlk olarak,
Ortalama Varyans modeli ile Pareto optimum portföyler elde edilmiştir.
Sonrasında ise TOPSIS ve PROMETHEE yöntemleri kullanılarak yatırımcı tipine
göre Pareto optimum portföyler sıralanmıştır. Entropi ve yüksek dereceden momentler,
Pareto portföyleri sıralarken kriter olarak kullanılmıştır. Test periyodunda
Pareto optimum portföylerin getiri performansları, portföy performans
ölçütlerine göre değerlendirilmiş ve değerlendirme sonuçları TOPSIS ve
PROMETHEE sıralama sonuçları ile kıyaslanmıştır. Uygulanan istatistik testleri
sonucu, önerilen PROMETHEE modelinin daha etkin sonuçlar verdiği gözlenmiştir.

Anahtar Kelimeler

Portföy Optimizasyonu; Pareto Sıralama, PROMETHEE, TOPSIS

Kaynakça

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