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PORTFÖY SEÇİMİNDE MARKOWITZ MODELİ İÇİN YENİ BİR GENETİK ALGORİTMA YAKLAŞIMI

A NEW GENETIC ALGORITHM APPROCH FOR MARKOWITZ MODEL OF PORTFOLIO SELECTION

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Abstract (2. Language): 
Portfolio selection assumed as one of the most important research areas in modern finance, is the decision of forming the optimum portfolio from a list of securities under certain expectations and constraints. Solution of this kind of problem is difficult on account of large number of complex data and constraints of decision making. Conventional and modern portfolio management models were tried to be solved with various solution techniques and under different constraints. The method mentioned with the name of Markowitz who is the founder of modern portfolio management, provided a new dimension to portfolio selection. Risk, like return, gained a quantitative meaning and became measurable. Several studies were made on the model which can also be defined as Markowitz mean-variance method. Additions are made to the model and the solution process is tried to be improved by different algortihms. In this article, a new genetic algorithm approach for Markowitz model of portfolio selection is attempted and the solutions are discussed. Furthermore, the codes of Matlab 7.0 programme where the model is evolved are also mentioned.
Abstract (Original Language): 
Modern finansın en önemli araştırma alanlarından biri olarak kabul edilen portföy seçimi, belirli beklenti ve kısıtlar altında, menkul kıymetler havuzundan en uygun olan kümenin oluşturulması kararıdır. Verilerin çokluğu ve karmaşıklığı, karar vericinin kısıtları gibi nedenlerle çözümü zor bir problemdir. Geleneksel ve modern portföy yönetimi modelleri, farklı kısıtlar ve çözüm teknikleri kullanılarak çözülmeye çalışılmıştır. Modern portföy yönetiminin kurucusu sayılan Markowitz‟ in kendi adıyla anılan yöntemi, portföy seçimine yeni bir boyut kazandırmıştır. Risk, getiri gibi sayısal anlam kazanmış ve ölçülebilir olmuştur. Markowitz ortalama -varyans metodu olarak da tanımlanabilecek model hakkında bir çok çalışma yapılmıştır.Modele eklentiler yapılmış ve çözüm süreci farklı algoritmalarla iyileştirilmeye çalışılmıştır. Bu makalede, portföy seçiminde Markowitz modeli için yeni bir genetik algoritma yaklaşımı denenmiş ve sonuçlar tartışılmıştır. Ayrıca modelin geliştirildiği Matlab 7.0 programındaki kodlara da yer verilmiştir.

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