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Kovaryans Matrisi Tahmininin Portfoy Secimine Etkisi: IMKB’de Farkli Yatirim Ufuklari icin Uygulama

Author

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  • Gulfen TUNA

    (Sakarya Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Finansal Ekonometri Bolumu)

Abstract

Portfoy secim surecinde; beklenen getiri vektoru ve kovaryans matrisinin tahmin edilmesi iki onemli girdidir. Bu calismada farkli tekniklerin kullanilmasi ile gerceklestirilen kovaryans matrisi tahmininin; portfoy riski uzerindeki etkisinin arastirilmasina odaklanilmistir. Portfoy secim islemi 1986:01-2009:12 donemleri arasinda gerceklestirilmistir. Veri seti olarak da bu donem icinde IMKB’de islem goren tum hisse senetlerinin gunluk kapanis fiyatlari kullanilmistir. Portfoy secim modeli olarak Markowitz Modeli kullanilmistir. Yatirim ufku olarak bir gun, bir hafta, on bes gun, bir ay ve bir yillik periyotlar tercih edilmistir. Kovaryans tahmin edicileri olarak ise ornek kovaryans tahmin edicisi ile Ledoit ve Wolf(2004) tarafindan gelistirilen kuculme tahmin edicisi kullanilmistir. Arastirma sonucuna gore Ledoit ve Wolf (2004)’un kuculme tahmin edicisi ile IMKB’de daha dusuk riske sahip olan ve daha kolay yonetilebilir portfoy seceneklerine ulasmak mumkun olmustur.

Suggested Citation

  • Gulfen TUNA, 2012. "Kovaryans Matrisi Tahmininin Portfoy Secimine Etkisi: IMKB’de Farkli Yatirim Ufuklari icin Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 12(3), pages 311-322.
    • Handle: RePEc:ege:journl:v:12:y:2012:i:3:p:311-322
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    More about this item

    Keywords

    Kovaryans tahmini; portfoy secimi; kuculme tahmin edicisi; ornek kovaryans tahmin edicisi; yatirim ufku.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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