DİNAMiK KOŞULLU KORELASYONLAR (DCC) MODELİ İLE VARLIK TAHSİSİ: R PROGRAMINDA BİR UYGULAMA

Bu çalışma, dinamik koşullu korelasyon (DCC) modeli kullanarak varlık sınıfları arasındaki zamanla değişen korelasyonların tahmini ve bu tahminleri kullanarak portföy oluşumu sürecini R programının kullanımınıyla sunmaktadır. Portföy optimizasyonu ile ilgilenen yatırımcılar, akademisyenler ve finans öğrencileri için tasarlanan bu çalışmada, kullanıcı tarafından yazılan bir dizi R komutu sunulmaktadır. Bu komutlar, finansal verilere erişmek, verilerin istatistiksel özelliklerini analiz etmek, dinamik korelasyonları tahmin etmek ve son olarak çeşitli amaçlar için optimize edilmiş portföylerdeki birçok varlık sınıflarının optimal ağırlıklarını hesaplamak için kullanılmıştır.

Anahtar Kelimeler:

R programı, Tahmin, DCC, Korelasyonlar, Portföy optimizasyonu

ASSET ALLOCATION WITH DYNAMIC CONDITIONAL CORRELATIONS (DCC) MODEL: AN IMPLEMENTATION IN THE R PROGRAM

This study demonstrates how to use the R programming language to estimate time varying volatility in returns and correlations between several asset classes by employing a model called Dynamic Conditional Correlations (DCC) and to form portfolios using those estimates. A number of user-written R commands are presented in the study, designed for practitioners, academics, and students of nance interested in active portfolio optimization. The study uses these commands to access nancial data, analyze statistical characteristics of the data, estimate dynamic correlations, and nally compute the optimal weights of several asset classes in portfolios optimized for a variety of purposes.

Keywords:

R program, Estimation, DCC, Correlations, Portfolio optimization,

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