Konno-Yamazaki portfolio optimization model and an application to Istanbul Stock Exchange
Yükleniyor...
Tarih
2009
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Selcuk University Research Center of Applied Mathematics
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The 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.
Açıklama
URL: http://sjam.selcuk.edu.tr/sjam/article/view/227
Anahtar Kelimeler
Portfolio optimization, Portföy optimizasyonu, Konno-Yamazaki model, Konno-Yamazaki modeli
Kaynak
Selcuk Journal of Applied Mathematics
WoS Q Değeri
Scopus Q Değeri
Cilt
10
Sayı
Künye
Genç, A., Çelik, N. (2009). Konno-Yamazaki portfolio optimization model and an application to Istanbul Stock Exchange. Selcuk Journal of Applied Mathematics, 10 (1), 141-146.
