PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX

Authors : Serdar Ramazan Kahraman, Kartal Somuncu

Pages : 214-226

Doi:10.22139/jobs.1382612

View : 53 | Download : 68

Publication Date : 2023-12-30

Article Type : Research Paper

Abstract :Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index. Method: In the study, using the return data obtained from the adjusted weighted average price data of securities in the BIST-100, variance and covariance matrices were constracted to generate optimal portfolios, and the returns of two different portfolios were calculated and compared. Findings: The findings of the study indicate that, despite securities within the BIST-100 Index generally yielding negative returns during the 2018-2019 period, portfolios constructed based on semi-variance protected investors from the risk of negative returns. It was observed that as the levels of risk tolerance increased, the returns of portfolios also increased. Conclusions: It has been concluded that portfolios created according to semi-variance offer better protection for investors with low risk tolerance against the risk of unexpected negative returns.
Keywords : Yarı varyans, yatırım, Risk, portföy optimizasyonu, BIST 100 endeksi