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Çok Kriterli Karar Verme Yöntemleri İle Optimal Portföy Seçimi: Borsa İstanbul Örneği

Year 2017, Volume: 10 Issue: -IASOS Özel Sayısı-, 117 - 133, 28.12.2017

Abstract

Günümüzde
sermaye piyasaları, hızlı bir gelişim göstermekte olup uluslararası yatırımlar
için portföy yönetimi ve portföy seçimi araştırılmaya değer konulardan biri
olmuştur. Bu amaçla Borsa İstanbul’da işlem gören tüm işletmeler için optimal
portföy seçimi çok kriterli karar verme yöntemlerinden AHP
(AnalyticHierarchyProcess) yöntemi kullanılarak gerçekleştirilmiştir. Bu
çalışma ile hisse senetlerinin uzman görüşleri dahilinde önem düzeylerine göre
ağırlıkları belirlenerek optimal portföylerin oluşturulması amaçlanmaktadır. Bu
çerçevede elde edilen bulgular, yatırımcıların daha az veri ile çok fazla zaman
harcamadan başarılı portföyler oluşturup ortalama getirisini artırabilmesi
açısından önem taşımaktadır. 

References

  • Abbasi E.,Pishghadam S., Ghasemi S, (2016), “Fuzzy MADM Approach of StockRankingand Portfolio Selection in TehranStock Exchange”, Human Resource Management Research, 6(3): 55-64. Ahari S.G.,Nasab N.G., Makui A., Ghodsypour S.H., (2011), “A portfolioselectionusingfuzzyanalytichierarchyprocess: A casestudy of Iranianpharmaceuticalindustry”, International Journal of IndustrialEngineeringComputations, vol: 2, 225–236. Ahmadzade, M.,Fazli,S., Khosroanjom, D., Mavi R.(2011), Utilising Data Envelopment Analysis forSelecting Stockand Benchmark Firms in Tehran Stock Exchange. International Journal of OperationalResearch, 12 (4), 446 – 463. Akarim, Y.Deniz, (2013), “Optimal Portföy Seçiminde Parametrik Ve Parametrik Olmayan Analiz Yöntemlerinin Karşılaştırılması”,13. Ulusal Finans Sempozyumu, Muğla. Arifin, A. Zainul (2011), “The Analytical Process (AHP) Method For Stocks Rank”, Cambridge Business & Economics Conference, 27- 28 Haziran, 1- 26. Basso A.,Funari S. (2001). A Data Envelopment Analysis Approach To Measure The Mutual Fund Performance. EuropeanJournal of Operational Research,135, 477-492. Bhushan, N.& Rai, K. (2004). Strategic DecisionMaking: ApplyingtheAnalyticHierarchyProcess, London: SpringerPress. Bolster PJ, Janjigian V, Traham EA (2005), Determining investor suitability using the AHP, Fina. Anal. J. Chen H. H.(2008).StockSelection Using Data Envelopment Analysis. Industerial Management AndData Systems, 108, 1255-1268. Davarpanah S.,Bonab S.H., Khodaverdizadeh M., (2016), “AssessmentandComparison of SustainableAgricultureApproach Using a Combination of AHP and TOPSIS”, International AcademicJournal of Economics, Vol. 3, No. 9, pp. 7-18. Demirtaş Ö., Güngör Z. (2005), Portföy Yönetimi ve Portföy Seçimine Yönelik Uygulama. Havacılık ve Uzay Teknolojileri Dergisi, 4, 103-109. Durer S, M. Ahlatcıoğlu,(1994), F Tiryaki İdeal Menkul Kıymet Portföyü Oluşturmada Analitik Hiyerarşi Yaklaşımı, Araştırma Sempozyumu’94, 21-23 Kasım, Ankara. Edirisinghe N.P.,Zhang X. (2008), Portfolio Selection Under DEA-BasedRelative Financial StrengthIndicators:Case of US Industries. Journal of theResearchSociety. 59, 842-856. Eilat H.,Golany B., Shtub A. (2006).Constructing And Evaluating Balanced Portfolios of R&D WithInteractions: A DEA BasedMethodology. EuropeanJournal of OperationalResearch. 172, 1018-1039. Emel A.B., Oral M., Reisman A.,Yolalan R. (2003). A Credit Scoring Approach For The Commerical Banking Sector, Socio-Economic Planning Sciences, 37, 103-123. İç, YT, Yurdakul, M. (2000), “Analitik Hiyerarşi Süreci (AHP) Yöntemini Kullanan Bir Kredi Değerlendirme Sistemi”, Gazi Üniversitesi Mühendislik Mimarlık Fakültesi Dergisi,15(1), 1-14. Kurz M, Jin H, Motolese M (2003). Determinants of stock market volatilities and riskpremia, Stanford Institute for Economic Policy. Res. J. (SIEPR), in Multi-National Business Review, Montclair State University, U.S. A. Lee W.S., , Tzeng G.H., Guan J.L., Chien K.T., Huang J.M., (2009), Combined MCDM techniquesforexploringstockselectionbased on Gordon model, ExpertSystemswith Applications, Vol: 36, pp:6421–6430 MarkowitzH. (1952), “Portfolio Selection”, Journal of Finance, 7,77-91 Meziani AS (2003). Assessing the effect of investment barriers on international capital flow using an expert –driven system, Multinational Business Rev,. II: 2. Murthi B. S.,Choi Y. K.,Desai P. (1997), Efficiencyof MutualFundsAndPortfolio PerformanceMeasurement:Anon-ParametricApproach. EuropeanJournal of OperationalResearch, 98, 408-418. Nielsen L.T, (1987), “Portfolio Selection in theMean-Variance Model: A Note”, Journal of Finance,42 (5), 1371-1376. Oyatoye,EO, G.U. Okpokpo, G.A. Adekoya (2010) “An application of analytic hierarchy process (AHP) to investment portfolio selection in the banking sector of the Nigerian capital market”,Journal of Economics and International Finance Vol. 2(12), pp. 321-335. Özdemir, M. (2011), “Genetik Algoritma Kullanılarak Portföy Seçimi” İktisat İşletme Finans, 26 (299), 43-66. Perçin, S., Karakaya, A. (2012), “Bulanık Karar Verme Yöntemleriyle Türkiye’de Bilişim Teknolojisi Firmalarının Finansal Performanslarının Değerlendirilmesi”, Marmara University Journal of the Faculty of Economic & Administrative Sciences, 33,(2), 241-266. Phua M.H.,Minowa M., (2005), “A GIS-basedmulti-criteriadecisionmakingapproachtoforestconservationplanning at a landscapescale: a casestudy in theKinabaluArea, Sabah, Malaysia”, Landscapeand Urban Planning, Vo: 71,pp: 207–222. Roy A. D. (1952), Safety First and Holding of Assets.Econometrica, 20(3), 431–449. Saaty, T.L. (2001). DecisionMakingforLeaders: TheAnalyticHierarchyProcessforDecision in a Complex World, 3rd Edition, Pittsburgh: RWS Publications. Saaty, T. L., (2006),Creative Thinking, Problem Solving And Decision Making , Pittsburgh: Rws Publications. SalmeronJ.L. Herrero I.,(2005), “An AHP-based methodology to rank critical success factors of executive information systems”, Computer Standards and Interfaces, Vol: 28, pp:1 –12. Sefiane, S.,Benbouziane M. (2012).Portfolio Selection Using Genetic Algorithm. Journal of Applied Finance and Banking, 2 (4), 143-154. Tayyar, N., Akcanlı, F., Genç, E., Erem, I. (2014), “BİST’ te Kayıtlı Bilişim ve teknoloji Alanında Faaliyet Gösteren İşletmelerin Finansal performanslarının Analitik Hiyerarşi Prosesi (AHP) ve Gri İlişki Analizi (GİA) Yöntemi ile Değerlendirilmesi”, Muhasebe ve Finansman Dergisi, 28-30 Timör M., (2011), Analitik Hiyerarşi Prosesi, Türkmen Kitabevi, İstanbul. Tiryaki F.,Ahlatcıoğlu B. (2009).FuzzyPortfolio Selection Using FuzzyAnalyticHierarchyProcess.Information Sciences, 179, 53–69. Tzeng, G.H. &Huang, J.J. (2011). MultipleAttributeDecisionMaking: Methodsand Applications, Boca Raton: CRC Press. Yüksel, İ., Akın, A. (2006). “Analitik Hiyerarşi Proses Yöntemiyle İşletmelerde Strateji Belirleme”, Doğuş Üniversitesi Dergisi, 7 (2), 254-268. WuC.R., Lin C,T.&ChenH.C. (2007), “Optimal Selection Of LocationForTaiwaneseHospitalsToEnsure A Competitive Advantage By Using The Analytic Hierarchy Process And Sensitivity Analysis”, Article In Buildingand Environment, Vol: 42, Iss: 3, pp:431-1444. Zhang Q, Nie Z.K. (2003).A Class of Fuzzy Portfolio SelectionProblems.Machine Learning AndCybernetics, 2003 International Conference, 5, 2654 – 2658.
Year 2017, Volume: 10 Issue: -IASOS Özel Sayısı-, 117 - 133, 28.12.2017

Abstract

References

  • Abbasi E.,Pishghadam S., Ghasemi S, (2016), “Fuzzy MADM Approach of StockRankingand Portfolio Selection in TehranStock Exchange”, Human Resource Management Research, 6(3): 55-64. Ahari S.G.,Nasab N.G., Makui A., Ghodsypour S.H., (2011), “A portfolioselectionusingfuzzyanalytichierarchyprocess: A casestudy of Iranianpharmaceuticalindustry”, International Journal of IndustrialEngineeringComputations, vol: 2, 225–236. Ahmadzade, M.,Fazli,S., Khosroanjom, D., Mavi R.(2011), Utilising Data Envelopment Analysis forSelecting Stockand Benchmark Firms in Tehran Stock Exchange. International Journal of OperationalResearch, 12 (4), 446 – 463. Akarim, Y.Deniz, (2013), “Optimal Portföy Seçiminde Parametrik Ve Parametrik Olmayan Analiz Yöntemlerinin Karşılaştırılması”,13. Ulusal Finans Sempozyumu, Muğla. Arifin, A. Zainul (2011), “The Analytical Process (AHP) Method For Stocks Rank”, Cambridge Business & Economics Conference, 27- 28 Haziran, 1- 26. Basso A.,Funari S. (2001). A Data Envelopment Analysis Approach To Measure The Mutual Fund Performance. EuropeanJournal of Operational Research,135, 477-492. Bhushan, N.& Rai, K. (2004). Strategic DecisionMaking: ApplyingtheAnalyticHierarchyProcess, London: SpringerPress. Bolster PJ, Janjigian V, Traham EA (2005), Determining investor suitability using the AHP, Fina. Anal. J. Chen H. H.(2008).StockSelection Using Data Envelopment Analysis. Industerial Management AndData Systems, 108, 1255-1268. Davarpanah S.,Bonab S.H., Khodaverdizadeh M., (2016), “AssessmentandComparison of SustainableAgricultureApproach Using a Combination of AHP and TOPSIS”, International AcademicJournal of Economics, Vol. 3, No. 9, pp. 7-18. Demirtaş Ö., Güngör Z. (2005), Portföy Yönetimi ve Portföy Seçimine Yönelik Uygulama. Havacılık ve Uzay Teknolojileri Dergisi, 4, 103-109. Durer S, M. Ahlatcıoğlu,(1994), F Tiryaki İdeal Menkul Kıymet Portföyü Oluşturmada Analitik Hiyerarşi Yaklaşımı, Araştırma Sempozyumu’94, 21-23 Kasım, Ankara. Edirisinghe N.P.,Zhang X. (2008), Portfolio Selection Under DEA-BasedRelative Financial StrengthIndicators:Case of US Industries. Journal of theResearchSociety. 59, 842-856. Eilat H.,Golany B., Shtub A. (2006).Constructing And Evaluating Balanced Portfolios of R&D WithInteractions: A DEA BasedMethodology. EuropeanJournal of OperationalResearch. 172, 1018-1039. Emel A.B., Oral M., Reisman A.,Yolalan R. (2003). A Credit Scoring Approach For The Commerical Banking Sector, Socio-Economic Planning Sciences, 37, 103-123. İç, YT, Yurdakul, M. (2000), “Analitik Hiyerarşi Süreci (AHP) Yöntemini Kullanan Bir Kredi Değerlendirme Sistemi”, Gazi Üniversitesi Mühendislik Mimarlık Fakültesi Dergisi,15(1), 1-14. Kurz M, Jin H, Motolese M (2003). Determinants of stock market volatilities and riskpremia, Stanford Institute for Economic Policy. Res. J. (SIEPR), in Multi-National Business Review, Montclair State University, U.S. A. Lee W.S., , Tzeng G.H., Guan J.L., Chien K.T., Huang J.M., (2009), Combined MCDM techniquesforexploringstockselectionbased on Gordon model, ExpertSystemswith Applications, Vol: 36, pp:6421–6430 MarkowitzH. (1952), “Portfolio Selection”, Journal of Finance, 7,77-91 Meziani AS (2003). Assessing the effect of investment barriers on international capital flow using an expert –driven system, Multinational Business Rev,. II: 2. Murthi B. S.,Choi Y. K.,Desai P. (1997), Efficiencyof MutualFundsAndPortfolio PerformanceMeasurement:Anon-ParametricApproach. EuropeanJournal of OperationalResearch, 98, 408-418. Nielsen L.T, (1987), “Portfolio Selection in theMean-Variance Model: A Note”, Journal of Finance,42 (5), 1371-1376. Oyatoye,EO, G.U. Okpokpo, G.A. Adekoya (2010) “An application of analytic hierarchy process (AHP) to investment portfolio selection in the banking sector of the Nigerian capital market”,Journal of Economics and International Finance Vol. 2(12), pp. 321-335. Özdemir, M. (2011), “Genetik Algoritma Kullanılarak Portföy Seçimi” İktisat İşletme Finans, 26 (299), 43-66. Perçin, S., Karakaya, A. (2012), “Bulanık Karar Verme Yöntemleriyle Türkiye’de Bilişim Teknolojisi Firmalarının Finansal Performanslarının Değerlendirilmesi”, Marmara University Journal of the Faculty of Economic & Administrative Sciences, 33,(2), 241-266. Phua M.H.,Minowa M., (2005), “A GIS-basedmulti-criteriadecisionmakingapproachtoforestconservationplanning at a landscapescale: a casestudy in theKinabaluArea, Sabah, Malaysia”, Landscapeand Urban Planning, Vo: 71,pp: 207–222. Roy A. D. (1952), Safety First and Holding of Assets.Econometrica, 20(3), 431–449. Saaty, T.L. (2001). DecisionMakingforLeaders: TheAnalyticHierarchyProcessforDecision in a Complex World, 3rd Edition, Pittsburgh: RWS Publications. Saaty, T. L., (2006),Creative Thinking, Problem Solving And Decision Making , Pittsburgh: Rws Publications. SalmeronJ.L. Herrero I.,(2005), “An AHP-based methodology to rank critical success factors of executive information systems”, Computer Standards and Interfaces, Vol: 28, pp:1 –12. Sefiane, S.,Benbouziane M. (2012).Portfolio Selection Using Genetic Algorithm. Journal of Applied Finance and Banking, 2 (4), 143-154. Tayyar, N., Akcanlı, F., Genç, E., Erem, I. (2014), “BİST’ te Kayıtlı Bilişim ve teknoloji Alanında Faaliyet Gösteren İşletmelerin Finansal performanslarının Analitik Hiyerarşi Prosesi (AHP) ve Gri İlişki Analizi (GİA) Yöntemi ile Değerlendirilmesi”, Muhasebe ve Finansman Dergisi, 28-30 Timör M., (2011), Analitik Hiyerarşi Prosesi, Türkmen Kitabevi, İstanbul. Tiryaki F.,Ahlatcıoğlu B. (2009).FuzzyPortfolio Selection Using FuzzyAnalyticHierarchyProcess.Information Sciences, 179, 53–69. Tzeng, G.H. &Huang, J.J. (2011). MultipleAttributeDecisionMaking: Methodsand Applications, Boca Raton: CRC Press. Yüksel, İ., Akın, A. (2006). “Analitik Hiyerarşi Proses Yöntemiyle İşletmelerde Strateji Belirleme”, Doğuş Üniversitesi Dergisi, 7 (2), 254-268. WuC.R., Lin C,T.&ChenH.C. (2007), “Optimal Selection Of LocationForTaiwaneseHospitalsToEnsure A Competitive Advantage By Using The Analytic Hierarchy Process And Sensitivity Analysis”, Article In Buildingand Environment, Vol: 42, Iss: 3, pp:431-1444. Zhang Q, Nie Z.K. (2003).A Class of Fuzzy Portfolio SelectionProblems.Machine Learning AndCybernetics, 2003 International Conference, 5, 2654 – 2658.
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Details

Journal Section Articles
Authors

Esra Yıldırım Söylemez

Yasemin Deniz Koç

Publication Date December 28, 2017
Published in Issue Year 2017 Volume: 10 Issue: -IASOS Özel Sayısı-

Cite

APA Yıldırım Söylemez, E., & Koç, Y. D. (2017). Çok Kriterli Karar Verme Yöntemleri İle Optimal Portföy Seçimi: Borsa İstanbul Örneği. Uşak Üniversitesi Sosyal Bilimler Dergisi, 10(-IASOS Özel Sayısı-), 117-133. https://doi.org/10.12780/usaksosbil.372529

Address: Uşak University Graduate Education Institute
Telephone: 0276 221 21 60 Fax: 0276 221 21 61
E-mail: sosyaldergi@usak.edu.tr