Genetik Algoritmalar ile Optimal Portföy Seçimi: BİST-30 Örneği
Optimal Portfolio Selection with Genetic Algorithm: An Example of BIST-30
Author(s): Feyyaz Zeren, Mehmet BayğinSubject(s): Business Economy / Management, Methodology and research technology, Financial Markets
Published by: İşletme Araştırmaları Dergisi
Keywords: Genetic Algorithms; Portfolio Selection, BIST-30; Risk; Return;
Summary/Abstract: One of the main problem is an optimal portfolio selection in the financial investment decisions. In this context, the determining of optimal portfolio by using which method is a significant for researcher. On the other hand, Genetic algorithm is optimization technical to select optimal portfolio when there are the plurality of cluster solutions. In this study, it is aimed to determine of optimal portfolio for Istanbul Stock Market 30 Indices. When Lambda value (λ) is 0.20, optimal portfolio selection is consist of 18 shares According to the application findings which is used data spanned from January-2010 and June-2013. When a dominance of risk factor increases, performance of algorithm decreases and optimal portfolio selection is consist of all BIST-30 Indices.
Journal: İşletme Araştırmaları Dergisi
- Issue Year: 7/2015
- Issue No: 1
- Page Range: 309-324
- Page Count: 16
- Language: Turkish