PORTFOLIO SIZE CONSTRAINTED MODEL OPTIMIZATION WITH NONLINEAR PROGRAMMING (NLP)
نویسندگان
چکیده
Bu çalışmada, portföy optimizasyonu konusunda büyüklüğü kısıtlamasının varlığında Excel Çözücü GRG modülünde kullanılabilecek bir model önerisi sunulmaktadır. Önerilen model, Markowitz’in teorisini temel alarak, BİST Teknoloji endeksinde yer alan 15 şirket üzerine uygulanmaktadır. Çalışmada öncelikle, DOP problemlerinin yapısı, kavramları, optimal çözüm şartları ve genel problemi yöntemleri, modülünün işleyişi paralelinde incelenmiştir. Sonra, büyüklüğünün belirli değerde olması için Ceza fonksiyonu kullanılmıştır düşük risk yüksek getiri hedefleyen iki amaçlı optimizasyon modeli sunulmuştur. Şirketlerin 335 günlük verileri kullanılarak getiriler kovaryanslar hesaplanmıştır. Portföy 6 seçilerek tek olarak çözümlenmiştir endeksinden daha getirili riske sahip ağırlıkları belirlenmiştir. kısıtı altında önerilen modelinin karmaşık algoritmalara ihtiyaç duymadan Excel’in hesap tabloları, formülleri Çözücüsü kolaylıkla çözümlenebileceği gösterilmiştir.
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ژورنال
عنوان ژورنال: Cumhuriyet Üniversitesi iktisadi ve idari bilimler dergisi
سال: 2021
ISSN: ['1303-1279']
DOI: https://doi.org/10.37880/cumuiibf.740306