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PORTFOLIO SELECTION WITH HIGHER MOMENTS: A POLYNOMIAL GOAL PROGRAMMING APPROACH TO ISE–30 INDEX

Journal Name:

  • İstanbul Üniversitesi Ekonometri ve İstatistik Dergisi

Publication Year:

  • 2011

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
The aim of this paper is to propose a portfolio selection model which takes into account the investors preferences for higher return moments such as skewness and kurtosis. In the presence of skewness and kurtosis, the portfolio selection problem can be characterized with multiple conflicting and competing objective functions such as maximizing expected return and skewness, and minimizing risk and kurtosis, simultaneously. By constructing polynomial goal programming, in which investor preferences for skewness and kurtosis incorporated, a Turkish Stock Market example will be presented for the period from January 2005 to December 2010.
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Abstract (Original Language): 
Bu makalenin amacı, çarpıklık ve basıklık gibi yüksek getiri momentleri için yatırımcının tercihlerini göz önüne alan bir portföy seçimi modeli önermektir. Çarpıklık ve basıklığın varlığında, portföy seçimi problemi, eş zamanlı olarak beklenen getiri ve çarpıklığın maksimizasyonu ile risk ve basıklığın minimize edilmesi gibi birbiri ile çelişen ve rekabet eden amaç fonksiyonları ile karakterize edilir. Polinomsal hedef programlama oluşturarak, Ocak 2005-Aralık 2010 periyodu için Türk Borsası’nda bir örnek sunulacaktır.
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  • 13
41-61
  • English

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REFERENCES

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