Konno-Yamazaki portfolio optimization model and an application to Istanbul Stock Exchange

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dc.contributor.authorGenç, Asır
dc.contributor.authorÇelik, Nuri
dc.date.accessioned2020-03-26T17:37:39Z
dc.date.available2020-03-26T17:37:39Z
dc.date.issued2009
dc.departmentSelçuk Üniversitesien_US
dc.description.abstractThe portfolio selection problem deals with how to form a satisfying portfolio. It is difficult to decide which assets should be selected because of the uncertainty on their returns. On the other hand, the increased volatility of financial markets during the last decade has induced researchers, practitioners and regulators to design and develop more sophisticated risk management tools. Value at Risk (VaR) has become the standard measure that financial analysts use to quantify market risk. VaR is defined as the maximum potential loss in value of a portfolio due to adverse market movements, for a given probability. In this work we considered Konno-Yamazaki model to optimize our portfolio and we compare this optimal portfolio with other possible portfolios with respect to VaR values.en_US
dc.identifier.endpage146en_US
dc.identifier.issn1302-7980en_US
dc.identifier.issue1en_US
dc.identifier.startpage141en_US
dc.identifier.urihttp://www.trdizin.gov.tr/publication/paper/detail/T1RBM05qYzM=
dc.identifier.urihttps://hdl.handle.net/20.500.12395/23171
dc.identifier.volume10en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.language.isoenen_US
dc.relation.ispartofTürkiye Klinikleri Psikiyatri Dergisien_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.selcuk20240510_oaigen_US
dc.subjectMatematiken_US
dc.titleKonno-Yamazaki portfolio optimization model and an application to Istanbul Stock Exchangeen_US
dc.typeArticleen_US

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