{"id":3313,"date":"2016-04-19T02:00:08","date_gmt":"2016-04-18T23:00:08","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=3313"},"modified":"2016-04-19T19:35:43","modified_gmt":"2016-04-19T16:35:43","slug":"portfolio-optimzation-using-of-metods-multi-objective-genetic-algorithm-and-goal-programming-an-application-in-bist-30","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/portfolio-optimzation-using-of-metods-multi-objective-genetic-algorithm-and-goal-programming-an-application-in-bist-30","title":{"rendered":"\u00c7ok Ama\u00e7l\u0131 Genetik Algoritma ve Hedef Programlama Metotlar\u0131n\u0131 Kullanarak Hisse Senedi Portf\u00f6y Optimizasyonu: B\u0130ST-30’da Bir Uygulama"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\n\u00c7ok Ama\u00e7l\u0131 Genetik Algoritma ve Hedef Programlama Metotlar\u0131n\u0131 Kullanarak Hisse Senedi Portf\u00f6y Optimizasyonu: B\u0130ST-30’da Bir Uygulama<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nEmre Yakut, Ahmet \u00c7ankal<\/td>\n<\/tr>\n
Cilt:<\/td>\n7<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n2<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2016<\/td>\n<\/tr>\n
Sayfa:<\/td>\n43-62<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2016217495<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
Portf\u00f6y optimizasyon problemi, Markowitz’in ortaya koydu\u011fu modern portf\u00f6y teorisi \u00e7al\u0131\u015fmalar\u0131ndan bu yana finans m\u00fchendisli\u011finin ilgi alanlar\u0131ndan biri olmu\u015ftur. En iyi portf\u00f6y\u00fc olu\u015fturabilmek i\u00e7in portf\u00f6yde yer alan hisse senetlerinin getiri ve risk ili\u015fkisine bak\u0131larak portf\u00f6y se\u00e7im i\u015flemi ger\u00e7ekle\u015ftirilmektedir. Finansal y\u00f6neticinin amac\u0131, minimum risk ve maksimum getiriyi sa\u011flayacak etkin bir portf\u00f6y\u00fc olu\u015fturmakt\u0131r. Bu ama\u00e7la yeni modeller ve bilgisayar teknolojileri artan bir h\u0131zla devam etmektedir. Genetik algoritmalar do\u011fal se\u00e7im prensiplerine dayanan stokastik algoritma ailesindendir. Bu \u00e7al\u0131\u015fmada BIST 30 hisse senetlerinin 2004-2013 d\u00f6nemleri aras\u0131nda ayl\u0131k kapan\u0131\u015f fiyatlar\u0131 verisi kullan\u0131lm\u0131\u015ft\u0131r. Markowitz ortalama varyans modeli ile hedef programlama ve \u00e7ok ama\u00e7l\u0131 genetik algoritma y\u00f6ntemleri uygulanarak 8 farkl\u0131 getiri-risk seviyesinde portf\u00f6yler olu\u015fturulmu\u015ftur. Portf\u00f6y\u00fcn se\u00e7im i\u015fleminde yararlan\u0131lan parametrik bir istatistiki \u00f6l\u00e7\u00fc birimi olan de\u011fi\u015fim katsay\u0131s\u0131 kullan\u0131lm\u0131\u015ft\u0131r. \u00c7al\u0131\u015fmadan elde edilen sonu\u00e7lar itibari ile en iyi portf\u00f6y\u00fcn genetik algoritma i\u00e7in 7 nolu portf\u00f6y ve bu portf\u00f6y\u00fcn 5 adet hisse senedinden, kuadratik hedef programlama i\u00e7in en iyi portf\u00f6y\u00fcn 4 nolu portf\u00f6y ve bu portf\u00f6y\u00fcn 8 adet hisse senedinden olu\u015ftu\u011fu belirlenmi\u015ftir. Optimizasyon teknikleri a\u00e7\u0131s\u0131ndan k\u0131yaslama yap\u0131ld\u0131\u011f\u0131nda kuadratik hedef programlaman\u0131n genetik algoritmadan daha iyi sonu\u00e7lar verdi\u011fi tespit edilmi\u015ftir.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nGenetik Algoritma, \u00c7ok Ama\u00e7l\u0131 Genetik Algoritma, Hedef Programlama, Optimum Portf\u00f6y, Portf\u00f6y Se\u00e7imi<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC60, C61, C44, G11<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: \u00c7ok Ama\u00e7l\u0131 Genetik Algoritma ve Hedef Programlama Metotlar\u0131n\u0131 Kullanarak Hisse Senedi Portf\u00f6y Optimizasyonu: B\u0130ST-30’da Bir Uygulama Yazar(lar): Emre Yakut, Ahmet \u00c7ankal Cilt: 7 Say\u0131: 2 Y\u0131l: 2016 Sayfa: 43-62 ISSN: 1309-2448 DOI Numaras\u0131: 10.20409\/berj.2016217495 \u00d6z Portf\u00f6y optimizasyon problemi, Markowitz’in ortaya koydu\u011fu modern portf\u00f6y teorisi \u00e7al\u0131\u015fmalar\u0131ndan […]<\/p>\n

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