Kurdoğlu, Gürer Cem2016-01-082016-01-081994http://hdl.handle.net/11693/17592Ankara : The Faculty of Management and the Graduate School of Business Administration of Bilkent Univ., 1994.Thesis (Master's) -- Bilkent University, 1994.Includes bibliographical references leaves 31-34.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.iii, 65 leavesEnglishinfo:eu-repo/semantics/openAccessSingle index modelHistorical betaBayesian estimates of future betasAdjusted betaReward to variabilityHG4529.5 .K87 1994Portfolio management.ThesisBILKUTUPB022923