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

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

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