Genç, AşırÇelik, Nuri2018-04-262018-04-262009Genç, A., Çelik, N. (2009). Konno-Yamazaki portfolio optimization model and an application to Istanbul Stock Exchange. Selcuk Journal of Applied Mathematics, 10 (1), 141-146.1302-7980https://hdl.handle.net/20.500.12395/10471URL: http://sjam.selcuk.edu.tr/sjam/article/view/227The 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.eninfo:eu-repo/semantics/openAccessPortfolio optimizationPortföy optimizasyonuKonno-Yamazaki modelKonno-Yamazaki modeliArticle10141146