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ARFIMA ve FIGARCH yöntemlerinin Markowitz ortalama varyans portföy optimizasyonunda kullanılması: İMKB-30 endeks hisseleri üzerine bir uygulama

Using ARFIMA and FIGARCH methods in Markowitz mean variance portfolio optimization: An application on ISE-30 index stocks

Journal Name:

  • İstanbul Üniversitesi İşletme Fakültesi Dergisi

Publication Year:

  • 2013

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In finance literature, there are some problems about Markowitz mean variance portfolio optimization model. One of these problems is how to determine the expected return of stocks which are used in calculations of portfolio optimization. In this study, whether enhanced optimized portfolios may be obtained via using fractional integrated models that ensure return forecast is examined. Return forecast data is obtained via ARFIMA model, and variance forecast data is obtained via FIGARCH model and then, dynamic portfolio optimizations for 42 months is formed by using obtained data. Performances of these portfolios are compared with equivalent dynamic optimized portfolios which use classical Markowitz expected returns. According to the results, the hypothesis investigated is not supported on ISE-30 Index stocks for forecast period including “Mortgage Crises”, which is originated from USA.
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Abstract (Original Language): 
Finans yazınında, Markowitz ortalama varyans portföy optimizasyon modeli için bazı problemler söz konusudur. Bu problemlerden biri, optimizasyon hesaplamalarında kullanılan hisse senedi beklenen getirilerin nasıl belirleneceğidir. Bu çalışmada, kesirli bütünleşik modellerden elde edilen öngörü verileri kullanılarak optimize edilen portföylerin daha yüksek performans gösterip gösteremeyeceği test edilmiştir. ARFIMA modeliyle getiri öngörüleri ve FIGARCH modeliyle varyans öngörü verileri elde edilmiş, elde edilen bu veri serileri kullanılarak 42 dönemlik dinamik portföy optimizasyonları oluşturulmuştur. Söz konusu bu portföylerin performansları, klasik Markowitz beklenen getirileri kullanılarak optimize edilen dinamik portföylerle karşılaştırılmıştır. Araştırma sonuçlarına göre, ABD kaynaklı “Mortgage Krizi”ni de içeren bu öngörü döneminde İMKB-30 Endeks hisse senetleri bazında araştırma hipotezindeki görüşü destekleyen sonuçlara ulaşılamamıştır.
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