Dinamik Portföy Seçimi ve Bir Uygulama

Bu çalışmada, Li ve Ng (2000) tarafından analitik çözümü türetilen optimal portföy stratejisinin uygulamada kullanımı üzerinde durulmaktadır. Aynı zamanda, istanbul Menkul Kıymetler Borsası verileri kullanılarak ortalama-varyans etkin sının elde edilmektedir. Son olarak Markowitz modeli ile göz önüne alman modelin risk ve beklenen getiri parametrelerine etkisi karşılaştırılarak araştırılmıştır.

Dynamic Portfolio Selection and an Application

This paper focuses on the usage of analytical optimal portfolio policy and the analytical expression of the mean-variance efficient frontier derived by Li and Ng (2000) for the multiperiod mean-variance formulation. The multiperiod optimal portfolio policy is obtained by using the Istanbul Stock Exchange data. Finally, the impact of the model on the risk and return parameters compared to Markowitz's single period model is analyzed.

Kaynakça

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Kaynak Göster