Performance measurement of portfolios constructed by the single index model with historical and adjusted betas

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buir.advisorAydoğan, Kürşat
dc.contributor.authorKurdoğlu, Gürer Cem
dc.date.accessioned2016-01-08T20:11:41Z
dc.date.available2016-01-08T20:11:41Z
dc.date.issued1994
dc.descriptionAnkara : The Faculty of Management and the Graduate School of Business Administration of Bilkent Univ., 1994.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 1994.en_US
dc.descriptionIncludes bibliographical references leaves 31-34.en_US
dc.description.abstractThis 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.en_US
dc.description.provenanceMade available in DSpace on 2016-01-08T20:11:41Z (GMT). No. of bitstreams: 1 1.pdf: 78510 bytes, checksum: d85492f20c2362aa2bcf4aad49380397 (MD5)en
dc.description.statementofresponsibilityKurdoğlu, Gürer Cemen_US
dc.format.extentiii, 65 leavesen_US
dc.identifier.itemidBILKUTUPB022923
dc.identifier.urihttp://hdl.handle.net/11693/17592
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectSingle index modelen_US
dc.subjectHistorical betaen_US
dc.subjectBayesian estimates of future betasen_US
dc.subjectAdjusted betaen_US
dc.subjectReward to variabilityen_US
dc.subject.lccHG4529.5 .K87 1994en_US
dc.subject.lcshPortfolio management.en_US
dc.titlePerformance measurement of portfolios constructed by the single index model with historical and adjusted betasen_US
dc.typeThesisen_US
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorBilkent University
thesis.degree.levelMaster's
thesis.degree.nameMBA (Master of Business Administration)

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