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BLACK-LITTERMAN VE MARKOWITZ ORTALAMA VARYANS MODELİYLE OLUŞTURULAN PORTFÖYLERİN PERFORMANSLARININ ÖLÇÜLMESİ

MEASURING THE PERFORMANCE OF PORTFOLIO’S FORMED WITH BLACK LITTERMAN MODEL AND MARKOWITZ MEAN VARIANCE MODEL

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Abstract (2. Language): 
This study aims to measure the performance of portfolios formed with Markowitz Mean-Variance Model and Black Litterman model by using the Sharpe, Treynor and Jensen indexes. The data set used in this study covers daily corrected prices of 17 firm‟s listed on ISE for the period between 2003 and 2009. By using Markowitz Mean Variance Model and Black Litterman Model, 13 portfolios are formed. Performance of the portfolios are evaluated with Sharpe, Treynor and Jensen Performance indexes.
Abstract (Original Language): 
Bu çalıĢmanın amacı, Markowitz Ortalama-Varyans Modeli ve Black-Litterman Modeliyle oluĢturulan portföylerin performanslarını Sharpe, Treynor ve Jensen performans ölçütleriyle ölçmektir. ÇalıĢmada 2003 – 2009 yılları arasında ĠMKB 30‟da sürekli iĢlem gören toplam 17 Ģirkete ait pay senetlerinin günlük düzeltilmiĢ fiyatları kullanılarak bir veri seti elde edilmiĢtir. Markowitz Ortalama-Varyans Modeli ve Black Litterman Modeli kullanılarak veri setinden 13 portföy oluĢturulmuĢ ve bu portföylerin performansları Sharpe, Treynor ve Jensen Performans ölçütleriyle ölçülmüĢtür.

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