Publication: Farklı risk ölçümlerine göre portföy seçimi
Abstract
Çalışmamızda Modern portföy kuramının tarihsel gelişimi çalışmanın ikinci kısımda incelenmiş ve genel portföy karekteristikleri tanımlamıştır. Üçüncü bölümde klasik yaklaşımdan ayrılarak farklı risk ölçümleri ile portföy seçimi üzerinde durulmuştur. Markowitz’e kadar riskten kaçarak faydayı maksimize eden strateji izlenmiştir. 1952 yılında Markowitz tarafından geliştirilen modern portföy yaklaşımı geleneksel yaklaşıma matematiksel ve istatistksel sistemleri de ilave ederek Risk ve Getiri kavramlarını ortaya koymuştur. Burada risk; varyans ve kovaryans terimleriyle açıklanmaktadır. Bu sistemde; temel amaç faydayı maksimize ederken riski minimuma indirmektir. Markowitz teorisi, getirilerin normal dağıtıldığı varsayımına göredir. Ancak, gerçekte bunun böyle olmadığı görülüyor. Sharpe‘ın Tekli Endeks modelinde; risk Markowitz modelinden farklı olarak sistematik ve sistematik olmayan olarak ikiye ayrılmaktadır.Portföyümüze eklenen hisse senedi, riski o kadar küçülmektedir. 2002 yılında Enrıco Di Giorgi tarafından geliştirilen modelle risk ölçüm yöntemlerine yeni kimlikler eklenmiştir.Bunlar:Riske Maruz Değer (VaR) ve Beklenen Shortfall (ES) olarak belirlenmiştir. Böylece risk ölçme yöntemleri çoğaltılmış ve daha reel portföy modeli ortaya konmuştur. Dördüncü bölümde tekli endeks modelini kullanarak yaptığımız uygulamamızda Elton Gruber ve Phafberg yöntemi kullanılmıştır.Bu uygulamamızda İMKB ‘ de işlem görmekte olan çeşitli sektörlerden 15 hisse senediyle , bütün verileri kullanarak oluşturduğumuz yeni portföyümüzde 3 hisse senedinin yer alabileceği , bu hisse senetlerinden Goodyear’e % 12 , Banvit’e % 18 ve Arçelik’e % 70 oranında yatırım yapabileceği ortaya çıkmıştır. Bütün bu risk ölçme yöntemlerinin hepsi kullanılsa bile , riski minimize edebiliriz ancak sıfıra indirmemiz mümkün olmayacaktır
In thıs stady the hıstorıcal development of the modern portfollıo teory is examined in the second part and the general portfolıo characteristics are defided İn the third part separating from the classical approach ,different risk measurements and portfollıo choice are studied. Up to Markowitz , the strategy of avoiding risk and maximizing the use/ value had been applied. The modern portfolıo approach,which was built up by Markowitz in 1952, produced risk and yield concepts by adding mathematical and statistical systems to conventional approach. Here risk is explained by variance ( VAR ) and covariance ( COV ). İn this system , the main object is maximizing the benefit and minimizing the risk.In the Markowitz theory, it is assumed that the yields are distributed normally. But ,in fact this is not true. İn Sharp’s Single Index Model , risk different from Markowitz model, is split into two parts: Systematical and nonsystematical. The share added to our portfollıo decreases risk at the same proportıon. Whit the model built up by Enrico Di Giorgi in 2002, new ideitities are added to risk measurement methods. These are Value-at-Risk (VaR ) and Expected Shortfall ( ES ). Thus the risk measurement methods are augmented and a more real portfolio model is produced. In part four,in our ewercice in which the single index model is used Elton Gruber and Phafberg method is used. İn this exercice it is found that in our new portfolio which is formed 15 shares from various sectors that exist in İMKB by using all the data, 3 shares can take place and the investment note can be as follows : % 12 to Goodyear , % 18 to Banvit and % 70 to Arçelik. İf all of these risk measurement methods are used we can minimize the risk but it is impossible to reduce make the risk zero.
In thıs stady the hıstorıcal development of the modern portfollıo teory is examined in the second part and the general portfolıo characteristics are defided İn the third part separating from the classical approach ,different risk measurements and portfollıo choice are studied. Up to Markowitz , the strategy of avoiding risk and maximizing the use/ value had been applied. The modern portfolıo approach,which was built up by Markowitz in 1952, produced risk and yield concepts by adding mathematical and statistical systems to conventional approach. Here risk is explained by variance ( VAR ) and covariance ( COV ). İn this system , the main object is maximizing the benefit and minimizing the risk.In the Markowitz theory, it is assumed that the yields are distributed normally. But ,in fact this is not true. İn Sharp’s Single Index Model , risk different from Markowitz model, is split into two parts: Systematical and nonsystematical. The share added to our portfollıo decreases risk at the same proportıon. Whit the model built up by Enrico Di Giorgi in 2002, new ideitities are added to risk measurement methods. These are Value-at-Risk (VaR ) and Expected Shortfall ( ES ). Thus the risk measurement methods are augmented and a more real portfolio model is produced. In part four,in our ewercice in which the single index model is used Elton Gruber and Phafberg method is used. İn this exercice it is found that in our new portfolio which is formed 15 shares from various sectors that exist in İMKB by using all the data, 3 shares can take place and the investment note can be as follows : % 12 to Goodyear , % 18 to Banvit and % 70 to Arçelik. İf all of these risk measurement methods are used we can minimize the risk but it is impossible to reduce make the risk zero.