Aslı SEBATLI, Fatih ÇAVDUR

PORTFÖY OPTİMİZASYONU İÇİN BİR KARAR DESTEK SİSTEMİ UYGULAMASI

Bu çalışmada, Markowitz ortalama-varyans modeli kullanılarak portföy optimizasyonu için kişisel bilgisayarda çalışan bir karar destek sistemi sunulmaktadır. Uygulama, günlük hayatta sıklıkla kullanılan bir elektronik tablolama yazılımı ortamında geliştirilmiştir. Geliştirilen sistem ile girilen parametrelere bağlı olarak Markowitz ortalama-varyans modeli çözdürülmektedir. Elde edilen optimal portföy, elektronik tablolama ortamının grafiksel arayüzü kullanılarak sunulmaktadır. Sistemin uygulaması için 2009-2018 yılları arasındaki Dow Jones Borsası Endüstri Endeksi’nde yer alan 30 firmanın günlük kapanış fiyatlarını içeren bir veri kümesi kullanılmıştır. Geliştirilen karar destek sistemi kullanılarak farklı beklenen getiri oranları için optimal portföyler elde edilmiş ve sonuçlar analiz edilmiştir. Esnek ve kullanımı kolay şekilde bir elektronik tablolama yazılımı ortamında çalışabilen ve Markowitz ortalama-varyans modelinin matematiksel detaylarına hakim olmayı gerektirmeksizin yatırımcıların optimal portföyler oluşturmalarına olanak sağlayan bir portföy optimizasyonu aracının geliştirilmiş olması çalışmanın en önemli katkısını oluşturmaktadır.

Anahtar Kelimeler:

Portföy optimizasyonu, Markowitz ortalama-varyans modeli, Matematiksel programlama, Kuadratik programlama, Karar destek sistemleri

A Decision Support System Application for Portfolio Optimization

In this study, a decision support system for portfolio optimization is developed. The application is developed on a spreadsheet environment frequently used in daily life. Using the developed system, the Markowitz mean-variance model is solved based on the problem parameters entered by the user. The resulted optimal portfolio is presented using the graphical user interface of the spreadsheet environment. A dataset including the daily closure prices of the 30 companies in the Dow Jones Industrial Average Index between the years of 2009 and 2018 is used for the implementation of the system. The optimal portfolios for different required-return rates are obtained and the results are analyzed using the developed decision support system. Development of a flexible and easy-to-use portfolio optimization tool running in a spreadsheet environment and allowing investors constructing optimal portfolios without dealing with the mathematical details of the Markowitz mean-variance model constitute the most important contribution of the study.

Keywords:

Portfolio optimization, Markowitz mean-variance model, Mathematical programming, Quadratic programming, Decision support systems,

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