Application of Markowitz mean variance model in the Istanbul Stock Exchange

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buir.advisorMuradoğlu, Gülnur
dc.contributor.authorÇetin, Batu
dc.date.accessioned2016-01-08T20:15:30Z
dc.date.available2016-01-08T20:15:30Z
dc.date.issued1998
dc.descriptionAnkara : The Graduate School of Business Administration of Bilkent Univ., 1998.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 1998.en_US
dc.descriptionIncludes bibliographical references leaves 37-38.en_US
dc.description.abstractThis 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.en_US
dc.description.provenanceMade available in DSpace on 2016-01-08T20:15:30Z (GMT). No. of bitstreams: 1 1.pdf: 78510 bytes, checksum: d85492f20c2362aa2bcf4aad49380397 (MD5)en
dc.description.statementofresponsibilityÇetin, Batuen_US
dc.format.extentv, 39 leaves, tablesen_US
dc.identifier.urihttp://hdl.handle.net/11693/18024
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMarkowitzen_US
dc.subjectInitial Public Offerings (IPO)en_US
dc.subjectSharpeen_US
dc.subject.lccHG5706.5.I88 C48 1998en_US
dc.subject.lcshGoing public (Securities).en_US
dc.subject.lcshInvestments--Turkey.en_US
dc.subject.lcshPortfolio management--Mathematical models.en_US
dc.subject.lcshCapital market--mathematical models.en_US
dc.subject.lcshInvestment analysis.en_US
dc.titleApplication of Markowitz mean variance model in the Istanbul Stock Exchangeen_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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