Optimum Portfolio Selection and Financial Failure Models: An Application on Borsa Istanbul
نویسندگان
چکیده
Bu çalışmada farklı yatırımcı tipleri için portföy yönetiminde faydalanılabilecek finansal başarısızlık modellerinin tespit edilmesi amaçlanmıştır. amaçla 2017-2022 döneminde BIST TUM Endeksi yer alan ve verilerine düzenli olarak ulaşılabilen finans kesimi dışındaki firmaların verilerinden faydalanılmıştır. Çalışmada 2017-2021 dönemi risklerinin incelenmesinde Springate (1978) S skor, Altman (1983) Z' Fulmer vd. (1984) H skor Legault (1987) CA modelleri kullanılmıştır. Finansal sonucuna göre başarılı bulunan firmalardan portföyler oluşturulmuştur. Optimal portföylerin oluşturulmasında Markowitz ortalama varyans modeli Riski seven riskten kaçınan oluşturulan 11 adet performans ölçütü riske maruz değer (VaR) üzerinden karşılaştırılmışlardır. Her iki tipi doğrultusunda portföyün en yüksek performansa sahip olduğu edilmiştir. portföyün, ise düşük VaR değerine
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ژورنال
عنوان ژورنال: Muhasebe ve finansman dergisi
سال: 2023
ISSN: ['2146-3042']
DOI: https://doi.org/10.25095/mufad.1265605