A comparison of optimal portfolio performances of three optimization methods
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Dosyalar
Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
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Yayıncı
İstanbul Ticaret Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study compares performances of three portfolios established based on Markowitz optimization, shrinkage optimization, and Black- Litterman optimization. BIST30 companies are used to test the results. Markowitz optimization is unrestricted, thus generates the highest possible utility. However, portfolio weights display high values of short- selling needs. Shrinkage optimization restricts short selling needs gradually, but it does not block short- selling. On the other hand, Black- Litterman model totally prohibits short- selling. Results show that the lowest utility is originated by Black- Litterman model. Shrinkage model generates average returns and less- than- average risk. Therefore, shrinkage ratio is a strong candidate for future portfolio building. The results also suggest that short selling should be included in portfolio activities to maximize performance. Short- selling improves portfolio performance significantly.
Açıklama
Anahtar Kelimeler
Optimization Techniques, Portfolio Choice and Investment Decisions
Kaynak
International Journal of Commerce and Finance
WoS Q Değeri
Scopus Q Değeri
Cilt
2
Sayı
1
