BIST 30 ENDEKSİNDE PORTFÖY SEÇİMİ İÇİN YENİ BİR KISMİ HEDEF PROGRAMLAMA YAKLAŞIMI

Finansal portföy seçim problemi her zaman yatırımcılar ve finansal kurumlar için çözülmesi zor ve önemli bir konudur. Portföy seçimi sorununun özü, belirli kriterler çerçevesinde optimum portföy bileşimi elde etmektir. Kriterler ve kriterlere ait önem dereceleri yatırımcıların bakış açısına göre değişebilmekteyken, portföyün temel değerlendirme unsuru, getiri ve risk unsurlarından oluşmaktadır. Modern portföy teorisine göre sırasıyla portföy ortalama ve varyansı bu faktörleri karşılamaktadır. Markowitz, portföy seçiminde, hisse senedi getiri serilerinin normal olarak dağıldığı ve karar vericilerin fayda fonksiyonlarının karesel olduğu varsayımına dayanan bir ortalama varyans modeli önermiştir. İlgili varsayımların geçerli olmadığı ve hisse senetlerinin çarpıklık ve basıklık değerlerinin anlamlı olduğu pazarlarda yapılan araştırmalar literatürde yaygın olarak görülmektedir. Ortalama varyans modeline yüksek momentler ve entropi fonksiyonlarının eklenmesi ile portföy seçim sürecine daha fazla dağılım bilgisi ve çeşitlilik katılabilmektedir. BIST-30 Endeksi portföy seçim probleminde, Polinomsal Hedef Programlama modeli ve önerilen Kısmi Hedef Programlama yaklaşımı, ortalama varyans çarpıklık basıklık entropi fonksiyonlarını barındıran portföy seçim sürecinde test edilmiştir. Önerilen modelin gerçek performansı ölçülmüş ve etkin portföy oluşturma açısından iyi sonuçlar verdiği gözlemlenmiştir.

Anahtar Kelimeler:

portföy optimizasyonu, çarpıklık, basıklık, entropi, hedef programlama

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