The Portfolio Optimization Based on Sharp Performance Ratio

Yıl 2019, Cilt: 03 Sayı: 1, 7 - 14, 31.08.2019

Azize Zehra Celenli Basaran , Vedide Rezan Uslu

Öz

In recent years investors evaluate their portfolio
using modern portfolio theory developed by Markowitz while in the past they
evaluated portfolio types according to the traditional portfolio theory based
on simple diversification. In modern portfolio theory, it has been defended that
the relationships among financial assets included in the portfolio should be
taken into account. In addition, the return and risk of the portfolio can be
calculated by the mean-variance model. Investors always expect the maximum
return and the minimum risk. Therefore they want to choose the optimum one. In
Economics literature there are some measurements to evaluate the performances
of the different portfolios. In this study, it is aimed at the portfolio analysis
to do for the data of the BIST 30 index. For portfolio optimization, some
Artificial Intelligence techniques such as the Genetic Algorithm and Particular
Swarm Optimization were used for the data belonging to the year 2018. In these algorithms, different values for the
parameters were tried and Sharp Performance Ratio (SPR) was used as a
performance criterion. The portfolio found with the maximum SPR has been
determined as the optimum portfolio. Finally, the risk and the expected return
of the portfolio, the included financial assets and their weights have been
obtained. The values of the parameters of the final result are considered as
the best.

Anahtar Kelimeler

The portfolio Optimization, Genetic Algorithm, Particular Swarm optimization, Sharp Performance Ratio

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