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    A comparative study for multi-period asset allocation of defined contribution schemes: evidence from Turkey
    (İstanbul Ticaret Üniversitesi, 2012) Şenel, Kerem; Pamukçu, A. Bülent
    Long term asset allocation is more complicated than the usual asset allocation paradigm due to the multi-period nature of the problem. Since analytical models usually oversimplify for the sake of mathematical convenience, a fundamentally different approach is needed. Numerical solutions such as genetic algorithms provide an important alternative to analytical solutions in handling the inherent complexity which manifests itself as discontinuities and nonlinearities of the solution space. Complementing our previous studies with hypothetical and US market data, this study brings further evidence on the comparative performance of numerical solutions for multi-period asset allocation from an emerging market.
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    An evolutionary approach to asset allocation in defined contribution pension schemes
    (2008) Şenel, Kerem; Pamukçu, A. Bülent; Yanık, Serhat
    With the increasing popularity of defined contribution pension schemes, the related asset allocation problem has become more prominent. The usual portfolio asset allocation approach is far from being appropriate since the asset allocation problem faced by defined contribution pension schemes is fundamentally different. There have been many attempts to solve the problem analytically. However, most of these analytical solutions fail to incorporate real world constraints such as short selling restrictions for the sake of mathematical tractability. In this chapter, we present an evolutionary approach to the asset allocation problem in defined contribution pension schemes. In particular, we compare the simulation results from a genetic algorithm with the results from an analytical model, a simulated annealing algorithm, and two asset allocation strategies that are widely used in practice, namely the life cycle and threshold (funded status) strategies. © 2008 Springer-Verlag Berlin Heidelberg.
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    The new valuation paradigm: real options
    (İstanbul Ticaret Üniversitesi, 2003) Şenel, Kerem
    Conventional capital budgeting techniques such as the discounted cash flow analysis fail to recognize managerial flexibility that may have a huge option value. Such man-agerial flexibility may include abandonment option, option to defer development, option to expand, option to contract, and switching options. Though the extension of option pricing theory to valuation of other assets is not a novel concept, it has become increasingly popular with the new economy frenzy. Unable to justify the strikingly high market valuations of technology stocks with orthodox techniques, academics and market professionals have started to exploit option pricing technolo-gies that presage relatively much higher valuations, which are indeed justifiable for highly flexible and high-growth companies. Nevertheless, these valuations are also highly sensitive to initial conditions and exact specification of parameters, which can be a viable explanation for the relatively much higher volatility of returns for Internet stocks. Regardless of the discussion whether it makes sense to use real options in order to justify high market valuations, the real option methodology is indispensable in recognizing the managerial flexibility, which may be inherently embedded in any capital budgeting project.