Affiliation:
1. AFYON KOCATEPE ÜNİVERSİTESİ
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.
Funder
There is no supporting institution for this study.
Publisher
The Journal of Business Science
Reference28 articles.
1. Akyer, H., Kalaycı, C. B. and Aygören, H. (2018). Ortalama-varyans portföy optimizasyonu için parçacık sürü optimizasyonu algoritması: bir borsa istanbul uygulaması, Pamukkale Üniversitesi Mühendislik Bilimleri Dergisi, 24(1), 124-129.
2. Boda, M. and Kanderova, M. (2018). What is the true effect of rebalancing – a higher return or a lower risk? Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 66(6), 1417.
3. Braga, M. D. (2016). Risk-based approaches to asset allocation concepts and practical applications, Springer Briefs in Finance, 17-41.
4. Campbell, J. Y. and Ludger H. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31(3), 281-318.
5. Ceylan, A. and Korkmaz, T. (1998). Borsada uygulamalı portföy yönetimi. Ekin Kitabevi, Bursa.