Application of Markowitz mean variance model in the Istanbul Stock Exchange
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Please cite this item using this persistent URLhttp://hdl.handle.net/11693/18024
This main objective of this research work is to determine the efficient portfolio and construct the efficient frontier regarding the whole set of 129 stocks that have been traded in the ISE during the 1992 - June 1995 period. The analysis is based on the Markowitz’s Mean Variance Portfolio Selection Model that has been devised by Harry Markowitz in 1952. The Markowitz’s model is a quadratic optimization model that proves hard to implement as the number of data incorporated into the model increases. Hence, for the implemetation of the Markowitz’s model for the 129 stocks, a program code has been written on GAMS, a special software package for the solution of quadratic optimization problems. The study is concluded by measuring the perforaiance of the efficient portfolio constructed by utilizing the Sharpe’s index performance measurement tool for the June 1995 - December 1995 period monthly data.
Initial Public Offerings (IPO)
HG5706.5.I88 C48 1998
Going public (Securities).
Portfolio management--Mathematical models.
Capital market--mathematical models.