Black-Litterman Modeli İle Borsa İstanbul'da Portföy Optimizasyonu
Fischer Black ve Robert Litterman tarafından geliştirilen Black-Litterman modeli, yatırımcıların finansal varlık getirilerine ilişkin bireysel görüşleri ile piyasa denge getirilerini (tarafsız görüş) birleştirerek daha gerçekçi optimum portföyler oluşturulmasını sağlamaktadır. Bu çalışmada Black- Litterman modelinin portföy optimizasyonunda kullanımı detaylarıyla açıklanmakta ve Black-Litterman modeli kullanılarak Borsa İstanbulda işlem gören hisse senetleri ile portföy optimizasyonu uygulaması yapılmaktadır. Uygulama sonucunda oluşturulan optimum portföy piyasa portföyüne göre çok daha iyi bir performans göstermiştir. Bu sonuç, Black-Litterman modelinin daha gerçekçi olduğuna ilişkin literatür ve uygulamadaki bulguları destekler niteliktedir.
Portfolio Optimisation In Borsa Istanbul With Black-Litterman Model
Black-Litterman model developed by Fischer Black ve Robert Litterman enables construction of more reliable and intuitive optimal portfolios by combining individual views of investors on financial asset returns with market equilibrium returns (neutral views). In this study, use of Black-Litterman model in portfolio optimisation is explained in detail and a portfolio optimisation application is conducted with common stocks traded in Borsa Istanbul by using Black-Litterman model. As a result of our application, constructed optimal portfolio performed much better in comparison to market portfolio. This result strengthens the findings on Black-Litterman model in the literature and practice that Black- Litterman model is more intuitive.
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- ISSN: 1300-0217
- Başlangıç: 1990
- Yayıncı: Türkiye Bankalar Birliği