A comparison of optimal portfolio performances of three optimization methods
| dc.contributor.author | Cevizci, Aylin | |
| dc.date.accessioned | 2016-08-29T06:36:20Z | |
| dc.date.available | 2016-08-29T06:36:20Z | |
| dc.date.issued | 2016 | en_US |
| dc.department | İstanbul Ticaret Üniversitesi | en_US |
| dc.description.abstract | 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. | en_US |
| dc.identifier.endpage | 146 | en_US |
| dc.identifier.issn | 1303-5495 | |
| dc.identifier.issue | 1 | en_US |
| dc.identifier.startpage | 137 | en_US |
| dc.identifier.uri | https://hdl.handle.net/11467/1546 | |
| dc.identifier.volume | 2 | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | İstanbul Ticaret Üniversitesi | en_US |
| dc.relation.ispartof | International Journal of Commerce and Finance | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - İdari Personel ve Öğrenci | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Optimization Techniques | en_US |
| dc.subject | Portfolio Choice and Investment Decisions | en_US |
| dc.title | A comparison of optimal portfolio performances of three optimization methods | en_US |
| dc.type | Article | en_US |
