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- W3198695223 abstract "Bu çalışmada koşullu riske maruz değer (Conditional value-at-risk, CVaR), maksimum düşüş oranı (Maximum drawndown, MDD), Omega rasyosu ve Markowitz (1952) ortalama-varyans yönteminden oluşan dört farklı portföy optimizasyon yönteminin performansları aylık veriler kullanılarak Ocak 2000 ile Eylül 2020 dönemi için karşılaştırılmıştır. Portföy optimizasyon yöntemleri hedeflenen üç farklı yıllık getiri oranı dikkate alınarak uygulanmıştır. Portföy optimizasyon yöntemlerinin performanslarının değerlendirilmesinde Sharpe rasyosu, Treynorrasyosu, Bilgi rasyosu, Sortino rasyosu, Calmar rasyosu ve Jensen (alfa) kriterinden yararlanılmıştır. Çalışma bulguları incelenen dönem için en iyi performansı Omega rasyosuna dayalı portföy optimizasyon yönteminin sergilediği sonucuna işaret etmektedir. Fakat, bulgular Omega rasyosuna dayalı portföylerin yoğunlaşma riskine ilaveten önemli oranda piyasa riski de içerdiğini göstermektedir." @default.
- W3198695223 created "2021-09-13" @default.
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- W3198695223 date "2021-08-31" @default.
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- W3198695223 title "ALTERNATİF YÖNTEMLERE DAYALI PORTFÖY OPTİMİZASYONU" @default.
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- W3198695223 doi "https://doi.org/10.18070/erciyesiibd.881391" @default.
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