Sektör Düzeyinde Portföy Çeşitlendirmesi ve Portföy Optimizasyonu, Türkiye Uygulaması

This paper explores diversification potential and investment opportunities at the industry level for Turkey for the time period between 2007 and 2020. This study uses the factor analysis to determine domestic diversification opportunities and the Markowitz's risk-return model to evaluate portfolio optimization and measure the optimal weight of sectors in the market index. Results show that the wholesale, retail trade and transportation industries should be prioritized by the policy makers, as these industries earn highest returns at a given risk level. Bu çalışma 2007 ve 2020 yılları arasında Türkiye’de sektör düzeyinde çeşitlendirme potansiyelini ve yatırım fırsatlarını incelemektedir. Bu çalışma, yurtiçi çeşitlendirme fırsatlarını belirlemek için faktör analizini ve portföy optimizasyonunu değerlendirmek ve piyasa endeksindeki sektörlerin optimum ağırlığını ölçmek için Markowitz’in risk-getiri modelini kullanmaktadır. Yazarlar toptan ve perakende ticaret, taşıma ve ulaşım sektörlerin siyasete yön verenler tarafından öncelik verilmesi gerektiğini ortaya koymaktadır. Bu sektörlerin belirli bir risk seviyesinde en yüksek getiriye sahip oldukları gözlemlenmektedir.

Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey

This paper applies the mean-variance, mean-VaR, and mean-CVaR portfolio optimization approach to investigate opportunities for domestic diversification from Turkey investors’ viewpoints. We explore diversification potential and investment opportunities at the industry level for the time period between 2007 and 2020. The study uses factor analysis to determine domestic diversification opportunities and measure the optimal weight of sectors in the market index. Results from factor analysis show that for investors who desire to create a domestic portfolio considerable diversification opportunities are available. Portfolio optimization analysis indicates that the wholesale, retail trade and transportation industries should be prioritized by the policymakers, as these industries earn the highest returns at a given risk level.

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Bibtex @araştırma makalesi { jyasar835037, journal = {Yaşar Üniversitesi E-Dergisi}, issn = {1305-970X}, address = {}, publisher = {Yaşar Üniversitesi}, year = {2022}, volume = {17}, number = {65}, pages = {277 - 294}, doi = {10.19168/jyasar.835037}, title = {Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey}, key = {cite}, author = {Azimova, Tarana} }
APA Azimova, T. (2022). Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey . Yaşar Üniversitesi E-Dergisi , 17 (65) , 277-294 . DOI: 10.19168/jyasar.835037
MLA Azimova, T. "Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey" . Yaşar Üniversitesi E-Dergisi 17 (2022 ): 277-294 <
Chicago Azimova, T. "Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey". Yaşar Üniversitesi E-Dergisi 17 (2022 ): 277-294
RIS TY - JOUR T1 - Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey AU - Tarana Azimova Y1 - 2022 PY - 2022 N1 - doi: 10.19168/jyasar.835037 DO - 10.19168/jyasar.835037 T2 - Yaşar Üniversitesi E-Dergisi JF - Journal JO - JOR SP - 277 EP - 294 VL - 17 IS - 65 SN - 1305-970X- M3 - doi: 10.19168/jyasar.835037 UR - Y2 - 2021 ER -
EndNote %0 Yaşar Üniversitesi E-Dergisi Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey %A Tarana Azimova %T Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey %D 2022 %J Yaşar Üniversitesi E-Dergisi %P 1305-970X- %V 17 %N 65 %R doi: 10.19168/jyasar.835037 %U 10.19168/jyasar.835037
ISNAD Azimova, Tarana . "Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey". Yaşar Üniversitesi E-Dergisi 17 / 65 (Ocak 2022): 277-294 .
AMA Azimova T. Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey. Yaşar Üniversitesi E-Dergisi. 2022; 17(65): 277-294.
Vancouver Azimova T. Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey. Yaşar Üniversitesi E-Dergisi. 2022; 17(65): 277-294.
IEEE T. Azimova , "Portfolio Diversification and Optimization at Industry Level, Evidence from Turkey", Yaşar Üniversitesi E-Dergisi, c. 17, sayı. 65, ss. 277-294, Oca. 2022, doi:10.19168/jyasar.835037