In order to identify the efficient set of portfolios in the Markowitz model, a huge quantity of data is required. However, single index (or market, diagonal) model, developed by Sharpe, substantially reduces the number of data which are required for Markowitz model. The single index model assumes that the return of any stock could be related to the return of the market. The purpose of this study is to construct two different efficient portfolios according to two different versions (with short selling and without short selling) of the single index model and to analyze these portfolios performance in 01/92-12/97 interval.
Alexander Gordon J.-Sharpe William F., Fundamentals of Investments, Prentice Hali, 1989, s.198-199.
Dobbins Richard-Witt Stephen-Fielding John, Portfolio Theory and Investment Management, Blackwell Business, 1994.
Elton Edwin J.-Gruber Martin J.-Padberg Manfred W., "Simple Criteria For Optimal Portfolio Selection", The Journal of Finance, Vol.XXXI, No.5, December-197 6.
Fabozzi Frank-Modigliani Franco , Capital Markets: Institutions and lnstruments, Prentice Hali, 1996, s.194.
Farrell James L, Portfolio Management, Theory and Application, The McGraw- Hill, 1997.
Fischer Donald E.-Jordan Ronald J., Security Analysis and Portfolio Management, Prentice Hali, 1991.
Francis J ack Clark, Management of Investments, McGraw-Hill, 1993.
Griffiths Howard, Financial Investments, McGraw-Hill, 1990.
Harrington Diana, Modern Portfolio Theory, Prentice-Hall, 1987.
Haugen Robert A., Modern Investment Theory, Prentice Hali, 1986, s.122- 125.
Thygerson Kenneth J., Management of Financial Institutions, Harper Collins, 1995, s.287.
İMKB Şirketleri Sermaye, Temettü ve Aylık Fiyat Verileri: 1986-1997, İMKB yayını.