PORTFOLIO OPTIMIZATION WITH SEMI-VARIANCE MODEL: AN APPLICATION ON BIST-100 INDEX

Abstract

Aim: The aim of the study is to compare the performance of portfolios constructed based on variance and semi-variance using data obtained from the BIST-100 Index. Method: In the study, using the return data obtained from the adjusted weighted average price data of securities in the BIST-100, variance and covariance matrices were constracted to generate optimal portfolios, and the returns of two different portfolios were calculated and compared. Findings: The findings of the study indicate that, despite securities within the BIST-100 Index generally yielding negative returns during the 2018-2019 period, portfolios constructed based on semi-variance protected investors from the risk of negative returns. It was observed that as the levels of risk tolerance increased, the returns of portfolios also increased. Conclusions: It has been concluded that portfolios created according to semi-variance offer better protection for investors with low risk tolerance against the risk of unexpected negative returns.

Keywords

• semi-variance
• investment
• risk
• portfolio optimiztion
• bist-100 index
• yarı-varyans
• yatırım
• risk
• portföy optimizasyonu
• bist-100 endeksi