{"id":2104,"date":"2012-10-19T23:31:51","date_gmt":"2012-10-19T20:31:51","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=2104"},"modified":"2012-10-20T00:24:53","modified_gmt":"2012-10-19T21:24:53","slug":"black-litterman-ve-markowitz-ortalama-varyans-modelinin-beta-faktoru-artik-dalgalanma-dereceleri-ve-toplam-riskleri-yonunden-karsilastirilmasi","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/black-litterman-ve-markowitz-ortalama-varyans-modelinin-beta-faktoru-artik-dalgalanma-dereceleri-ve-toplam-riskleri-yonunden-karsilastirilmasi","title":{"rendered":"Black Litterman ve Markowitz Ortalama Varyans Modelinin Beta Fakt\u00f6r\u00fc, Art\u0131k Dalgalanma Dereceleri ve Toplam Riskleri Y\u00f6n\u00fcnden Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
Makale Bilgileri<\/strong><\/span><\/span><\/td>\n<\/tr>\n
Dergi:<\/strong><\/span><\/span>\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi
\n<\/span>Makalenin Ba\u015fl\u0131\u011f\u0131:<\/strong><\/span><\/span>Black Litterman ve Markowitz Ortalama Varyans Modelinin Beta Fakt\u00f6r\u00fc, Art\u0131k Dalgalanma Dereceleri ve Toplam Riskleri Y\u00f6n\u00fcnden Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131
\n<\/span>Yazar(lar):<\/strong><\/span><\/span>Tuncer Caliskan
\n<\/span>Cilt:<\/strong><\/span><\/span>3
\n<\/span>Say\u0131:<\/strong><\/span><\/span>4
\n<\/span>Y\u0131l:<\/strong><\/span><\/span>2012
\n<\/span>Sayfa:<\/strong><\/span><\/span>43-55
\n<\/span>ISSN:<\/strong><\/span><\/span>1309-2448<\/span><\/td>\n<\/tr>\n
\u00d6zet<\/strong><\/span><\/span><\/td>\n<\/tr>\n
\n

Bu \u00e7al\u0131\u015fman\u0131n amac\u0131, Markowitz Ortalama-Varyans Modeli ve Black-Litterman Modeliyle olu\u015fturulan portf\u00f6yleri beta fakt\u00f6rleri, art\u0131k dalgalanma dereceleri ve toplam riskleri bak\u0131m\u0131ndan \u00f6l\u00e7mektir. \u00c7al\u0131\u015fmada 2003 \u2013 2009 y\u0131llar\u0131 aras\u0131nda \u0130MKB 30\u2019da s\u00fcrekli i\u015flem g\u00f6ren toplam 17 \u015firkete ait pay senetlerinin g\u00fcnl\u00fck d\u00fczeltilmi\u015f fiyatlar\u0131 kullan\u0131larak bir veri seti elde edilmi\u015ftir. Markowitz Ortalama Varyans Modeli ve Black Litterman Modeli kullan\u0131larak toplam 26 portf\u00f6y olu\u015fturularak her iki modelde olu\u015fturulan portf\u00f6yler riskleri a\u00e7\u0131s\u0131ndan kar\u015f\u0131la\u015ft\u0131r\u0131lmaktad\u0131r. \u00c7al\u0131\u015fman\u0131n sonucunda Black Litterman Modeli ile olu\u015fturulan portf\u00f6ylerin beta fakt\u00f6rlerinin, art\u0131k dalgalanma derecelerinin ve toplam risklerinin daha d\u00fc\u015f\u00fck oldu\u011fu g\u00f6r\u00fclmektedir.<\/span><\/p>\n<\/td>\n<\/tr>\n

\n

Anahtar Kelimeler:<\/strong><\/span><\/span> Black-Litterman Modeli, Markowitz Ortalama Varyans Modeli, Beta Fakt\u00f6r\u00fc, Art\u0131k Dalgalanma Derecesi, Toplam Risk.<\/span><\/p>\n<\/td>\n<\/tr>\n

JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/strong><\/span><\/span> G11, G12<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi:\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131:Black Litterman ve Markowitz Ortalama Varyans Modelinin Beta Fakt\u00f6r\u00fc, Art\u0131k Dalgalanma Dereceleri ve Toplam Riskleri Y\u00f6n\u00fcnden Kar\u015f\u0131la\u015ft\u0131r\u0131lmas\u0131 Yazar(lar):Tuncer Caliskan Cilt:3 Say\u0131:4 Y\u0131l:2012 Sayfa:43-55 ISSN:1309-2448 \u00d6zet Bu \u00e7al\u0131\u015fman\u0131n amac\u0131, Markowitz Ortalama-Varyans Modeli ve Black-Litterman Modeliyle olu\u015fturulan portf\u00f6yleri beta fakt\u00f6rleri, art\u0131k dalgalanma dereceleri ve toplam riskleri bak\u0131m\u0131ndan \u00f6l\u00e7mektir. \u00c7al\u0131\u015fmada […]<\/p>\n

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