PORTFÖY ÇEŞİTLENDİRME KARARI İÇİN BİTCOİN BİR ALTERNATİF OLABİLİR Mİ? MEREC TABANLI VIKOR YAKLAŞIMI

Yatırım, tasarruf sahiplerinin finansal sürdürülebilirliğin güvence altına alınmasını sağlayan önemli bir araçtır. Bu nedenle yatırım kararlarının belirlenmesi ve portföy oluşturma süreçleri güncelliğini yitirmeyen bir araştırma konusu olagelmiştir. Bu çalışmada son yıllarda çok sayıda tartışmaya konu olan Bitcoin’in portföyler için doğru bir alternatif olup olmadığı tartışılmaktadır. Portföyler oluşturulurken çeşitliliği artırmak için Dolar, Euro, Bitcoin, Bist100 ve Altın alternatif yatırım araçları ele alınmıştır. Portföyler eşit oranlı bir dağılıma sahip olacak şekilde beş yatırım aracının olası tüm kombinasyonlarından oluşturulmuştur. Yatırım kararı, çok kriterli karar verme problemi olarak ele alınmış ve değerlendirme için yıllık getiri göstergesi, yıllık değişim oranı ve varyans katsayısı olacak şekilde üç kriter belirlenmiştir. Kriterlerin ağırlıkları nesnel bir yaklaşım olan MEREC yöntemiyle hesaplanmış ve alternatif seçimi VIKOR yöntemiyle gerçekleştirilmiştir. Çalışmada, Bitcoin’in portföy çeşitlendirmek için uygun bir alternatif olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler:

Karar verme, Yatırım kararı, ÇKKV, MEREC, VIKOR

CAN BITCOIN BE AN ALTERNATIVE TO THE PORTFOLIO DIVERSIFICATION DECISION? MEREC-BASED VIKOR APPROACH

Investment is an important tool that ensures the financial sustainability of savers. For this reason, the determination of investment decisions and portfolio creation processes have become a current research topic. This study discusses whether Bitcoin, which has been the subject of many discussions in recent years, is the right alternative for portfolios. While creating the portfolio, it was thought that alternative investment instruments such as Dollar, Euro, Bitcoin, Bist100, and Gold would increase the diversity. Portfolios are created from all possible combinations of the five investment instruments in an even distribution. The investment decision is considered a multi-criteria decision-making problem and three criteria have been determined for evaluation, namely the annual return indicator, the annual rate of change, and the coefficient of variance. The weights of the criteria were calculated with the MEREC method, which is an objective approach, and the alternative selection was made with the VIKOR method. In the study, it was concluded that Bitcoin is a suitable alternative for portfolio diversification.

Keywords:

Decision making, Investment decision, MCDM, MEREC, VIKOR,

PDF

___

Abensur, E. O., & de Carvalho, W. P. (2022). Improving Portfolio Selection by Balancing Liquidity-Risk-Return: Evidence from Stock Markets. Theoretical Economics Letters, 12(2), 479-497. https://doi.org/10.4236/tel.2022.122027
Baydaş, M., Elma, O. E., & Pamučar, D. (2022). Exploring the specific capacity of different multi criteria decision making approaches under uncertainty using data from financial markets. Expert Systems with Applications, 197, 116755. https://doi.org/10.1016/j.eswa.2022.116755
Borovička, A. Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model. Cent Eur J Oper Res 30, 595–616 (2022). https://doi.org/10.1007/s10100-021-00791-0
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 20, 192-198. https://doi.org/10.1016/j.frl.2016.09.025
Maree C. and Omlin C. W. (2022), Balancing Profit, Risk, and Sustainability for Portfolio Management, 2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr), 2022, pp. 1-8, https://doi.org/10.1109/CIFEr52523.2022.9776048.
Chaim, P., & Laurini, M. P. (2019). Is Bitcoin a bubble?. Physica A: Statistical Mechanics and its Applications, 517, 222-232. https://doi.org/10.1016/j.physa.2018.11.031
Chuen, D. L. K., Guo, L., & Wang, Y. (2017). Cryptocurrency: A new investment opportunity?. The journal of alternative investments, 20(3), 16-40. https://doi.org/10.3905/jai.2018.20.3.016
Cikrikci, M., Ozyesil, M. (2018). Is bitcoin becoming an alternative investment option for Turkey? a comparative investigation through the non-linear time series analysis. Research Journal of Business and Management (RJBM), V.5(4), p.250-261. http://doi.org/10.17261/Pressacademia.2018.1009
Čižmešija, M. (2011). Five-Number Summaries. In: Lovric, M. (eds) International Encyclopedia of Statistical Science. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-04898-2_255
Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar–A GARCH volatility analysis. Finance Research Letters, 16, 85-92. https://doi.org/10.1016/j.frl.2015.10.008
Ehrgott, M., Klamroth, K., & Schwehm, C. (2004). An MCDM approach to portfolio optimization. European Journal of Operational Research, 155(3), 752-770. https://doi.org/10.1016/S0377-2217(02)00881-0
Fan, C., Chen, M., Wang, X., Wang, J., & Huang, B. (2021). A review on data preprocessing techniques toward efficient and reliable knowledge discovery from building operational data. Frontiers in Energy Research, 9, 652801. https://doi.org/10.3389/fenrg.2021.652801
Guo, S., Gu, J. W., & Ching, W. K. (2021). Adaptive online portfolio selection with transaction costs. European Journal of Operational Research, 295(3), 1074-1086. https://doi.org/10.1016/j.ejor.2021.03.023
Gupta, S., Bandyopadhyay, G., Biswas, S., & Mitra, A. (2022). An Integrated Framework for Classification and Selection of Stocks for Portfolio Construction: Evidence from NSE, India. Decision Making: Applications in Management and Engineering.
Hallerbach, W. G., & Spronk, J. (2002). The relevance of MCDM for financial decisions. Journal of Multi‐Criteria Decision Analysis, 11(4‐5), 187-195. https://doi.org/10.1002/mcda.328
Keshavarz-Ghorabaee, M., Amiri, M., Zavadskas, E. K., Turskis, Z., & Antucheviciene, J. (2021). Determination of objective weights using a new method based on the removal effects of criteria (MEREC). Symmetry, 13(4), 525. https://doi.org/10.3390/sym13040525
Kuzu, S. ve Çelik, İ. E. (2020). Bitcoin Alternatif Yatırım Aracı ya da Hedge Enstrümanı Olarak Düşünülebilir mi?. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 8(2), 603-613. https://doi.org/10.18506/anemon.662937
Kürşad, M. Ş., & Nartgün, Z. (2015). Kayıp veri sorununun çözümünde kullanılan farklı yöntemlerin ölçeklerin geçerlik ve güvenirliği bağlamında karşılaştırılması. Journal of Measurement and Evaluation in Education and Psychology, 6(2), 254-267. https://doi.org/10.21031/epod.95917
Mahessara, R. D., & Kartawinata, B. R. (2018). Comparative Analysis of Cryptocurrency in Forms of Bitcoin, Stock, and Gold as Alternative Investment Portfolio in 2014–2017. Jurnal Sekretaris dan Administrasi Bisnis, 2(2), 38-51. https://doi.org/10.31104/jsab.v2i2.58
McElroy, T. S., & Politis, D. N. (2022). Optimal linear interpolation of multiple missing values. Statistical Inference for Stochastic Processes, 1-13. https://doi.org/10.1007/s11203-022-09269-5
Nadarajah S & Chu J (2017) On the inefficiency of Bitcoin. Economic Letters, 150:6–9. https://doi.org/10.1016/j.econlet.2016.10.033
Nguyen, T. T., & Gordon-Brown, L. N. (2012). Fuzzy numbers and MCDM methods for portfolio optimization. International Journal of Computer, Electrical, Automation, Control and Information Engineering, 6(12), 1593-1605.
Opricovic, S., & Tzeng, G. H. (2004). Compromise solution by MCDM methods: A comparative analysis of VIKOR and TOPSIS. European journal of operational research, 156(2), 445-455. https://doi.org/10.1016/S0377-2217(03)00020-1
Ozyesil, M. (2019). A research on interaction between bitcoin and foreign exchange rates. Journal of Economics Finance and Accounting, 6 (1), 55-62. https://doi.org/10.17261/Pressacademia.2019.1028
Platanakis, E., & Urquhart, A. (2020). Should investors include bitcoin in their portfolios? A portfolio theory approach. The British accounting review, 52(4), 100837. https://doi.org/10.1016/j.bar.2019.100837
Pośpiech, E. (2021). Comparison of profits of effective portfolios with non-effective portfolios taking into account the fuzzy approach. Zeszyty Naukowe. Organizacja i Zarządzanie/Politechnika Śląska. https://doi.org/10.29119/1641-3466.2021.150.15
Qarni, MO, Gulzar, S. Bitcoin ve döviz piyasalarında alternatif para birimi yatırımının portföy çeşitlendirme faydaları. Financial Innovations 7, 17 (2021). http://doi.org/10.1186/s40854-021-00233-5
Raei, R., & Jahromi, M. (2012). Portfolio optimization using a hybrid of fuzzy ANP, VIKOR and TOPSIS. Management Science Letters, 2(7), 2473-2484. https://doi.org/10.5267/j.msl.2012.07.019
Rudolf, K. O., Ajour El Zein, S., & Lansdowne, N. J. (2021). Bitcoin as an investment and hedge alternative. A DCC MGARCH model analysis. Risks, 9(9), 154. http://doi.org/10.3390/risks9090154
Sachdeva, M., Lehal, R., Gupta, S. and Gupta, S. (2022), "Influence of contextual factors on investment decision-making: a fuzzy-AHP approach", Journal of Asia Business Studies, https://doi.org/10.1108/JABS-09-2021-0376
Shahzad, S. J. H., Bouri, E., Roubaud, D., & Kristoufek, L. (2020). Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin. Economic Modelling, 87, 212-224. https://doi.org/10.1016/j.econmod.2019.07.023
Tiryaki, F., & Ahlatcioglu, B. (2009). Fuzzy portfolio selection using fuzzy analytic hierarchy process. Information Sciences, 179(1-2), 53-69. https://doi.org/10.1016/j.ins.2008.07.023
Tiwari AK, Jana RK, Das D, Roubaud D (2018) Informational efficiency of Bitcoin—an extension. Economic Letters 163:106–109. https://doi.org/10.1016/j.econlet.2017.12.006
Van Hoang, T. H., Lahiani, A., & Heller, D. (2016). Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach. Economic Modelling, 54, 54-66. https://doi.org/10.1016/j.econmod.2015.12.013
Virlics, A. (2013). Investment decision-making and risk. Procedia Economics and Finance, 6, 169-177. https://doi.org/10.1016/S2212-5671(13)00129-9
Yüncü, V., & Fidan, Ü. (2019). Integrating Organizational Reputation Mechanism to Decision-Making Processes: Facebook Case. Yönetim Bilimleri Dergisi, 17(34), 301-322. https://doi.org/10.35408/comuybd.425271