Browsing by Subject "Portfolio management."

Now showing 1 - 7 of 7

Open Access
The Adjustment of security prices to the release of stock dividend/rights offering information
(1990) Çadırcı, Begüm
This study investiga.tes market adjustment to the release of stock dividend/rights offering information for the stocks listed in IMKB First market for the period 1986-1989. The adjustment of security prices is analyzed in the context of a market model which takes market related factors into account. Direction and speed of adjustment are measured through residual analysis. Weekly security returns are regressed against returns in the market to find average and cumulative residuals around the event date. The regression model and beta coefficients are found to be significant. The results indicate that the adjustment process is slow and positive cumulative average abnormal returns are observed after the event date. This leads to the rejection of market efficiency in semi strong sense and possibility of an above normal profit.
Open Access
Application of Markowitz Portfolio Selection Model to Istanbul Stock Exchange, 1990-1992
(1995) Alkazan, Hande
In this study, Markowitz Efficient Frontier is constructed by using stock prices in Istanbul stock exchange for the period of 1990-92. This set of efficient portfolios is compared with mutual funds which are randomly chosen for the same period. Comparison is done on the basis of mean-variance criteria. According to the empirical results, chosen mutual funds for the period of 1990-92 are found to be inefficient.
Open Access
Approximating small open economy models with neural network trained by genetic algorithm
(2008) Coşkun, Yeşim
This thesis work presents a direct numerical solution methodology to approximate the small open economy models with debt elastic interest rate premium and with convex portfolio adjustment cost, both studied by Stephanie SchmittGroh´e and Martin Uribe(2003). This recent method is compared with the firstorder approximation to the policy function from the aspect of second moments of endogenous variables and their impulse responses. The proposed methodology, namely genetic algorithm-neural network (GA-NN), parameterizes the policy function with a feed-forward neural network that is trained by a genetic algorithm. Thus, unlike the first-order approximation, GA-NN does not require the continuity and the existence of derivatives of objective and policy functions. Importantly, since genetic algorithm is an evolutionary algorithm that enables global search over the feasible set, it provides a robust result in any solution space. Also GA-NN method gives not only the moments of the model but also the optimal path.
Open Access
Extreme value theory and risk management in financial markets
(2001) Ulugülyağcı, Abdurrahman
Open Access
Performance measurement of portfolios constructed by the single index model with historical and adjusted betas
(1994) Kurdoğlu, Gürer Cem
This study investigates the performance of portfolios constructed by single index model with historical (least squares regression) betas and estimated future betas by Vasicek's Bayesian Estimation Technique. The performances of the portfolios are measured by Sharpe's reward to variability ratio. The portfolios constructed by the simple criteria for portfolio selection of Elton, Gruber, Padberg have outperformed the market, but not at a statistically significant level. This is caused by the low market volume and high volatility of the market. The correlation between the market and the stocks turned out to be very low. Also the betas of the stocks were very volatile. Previous studies have shown that Vasicek's adjusted beta outperforms the historical one, but in this study, this could not be shown for the Istanbul Stock Exchange.
Open Access
Portfolio selection methods: an application to Istanbul Securities Exchange Market
(1996) Çetin, Mert
In this study, Modern Portfolio Theory tools are used for constructing efficient portfolios. The Markowitz mean-variance model is presented and calculated for the construction of efficient portfolios from the Istanbul Securities Exchange Market stocks for the 1993-1994 period. The portfolios constructed are compared on the risk and return scales.
Open Access
Role of risk aversion in countries' portfolio choices
(2012) Özcan, Fulya
This study aims to investigate the role of endogenously changing risk aversion in the portfolio decisions of the countries in a heterogeneous agents setting. Data shows that developed countries tend to hold more risky assets whereas developing countries hold more risk-free assets. This suggests developed countries to be less risk averse compared to the developing countries. This paper analyzes the role of risk aversion, which changes endogenously depending on the growth rate deviations from the expected growth rate, in the asset demands of countries. Therefore this paper seeks to answer how the asset demands change as the developed countries become more risk averse. In this study, developed countries are assumed to be less risk averse; however, their coefficient of risk aversion increases when their future endowments fall below their expectations, which is an exogenous factor affecting the demand for the assets of the developing countries.