文章基本信息

标题：A Linear Programming Model Suggestion Which Decreases Unsystematic Risk in the Portfolio Management
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作者：Murat UĞURLU ; Mehmet Levent ERDAŞ ; Abdullah EROĞLU 等
期刊名称：Çankırı Karatekin Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
印刷版ISSN：1308-5549
电子版ISSN：2147-4206
出版年度：2016
卷号：6
期号：1
页码：147-174
DOI：10.18074/cnuiibf.280
语种：English
出版社：Çankırı Karatekin University
摘要：Traditional portfolio management attaches importance to diversification to decrease portfolio risk modern ones offer an alternative to investors in an efficient frontier to create a portfolio with mathematical and statistical methods by using the past quantitative knowledge.Markowitz,one of the pioneers of the potfolio management,has considered the standart deviation as a risk.The abundance in the number of the selected shares make it hard to calculate the standart deviation instead of standart one.So they suggested the linear programming model as a portfolio suggestion.The models of them don’t interfere with the number of shares and its distrubution of industry branches.As a result,the portfolio might consist of the sole shares theorotically.To prevent the bad sides mentioned in the study,a linear programming that provides the maximum expected return to investors,a new model suggestion has been made by widining the additional constraints of Konno and Yamazaki’s model.
其他摘要：Geleneksel portföy teorisi portföy riskini azaltmak için çeşitlendirmeye önem verirken modern portföy teorisi geçmiş nicel bilgileri kullanarak matematiksel ve istatistiksel yöntemlerle yatırımcıya etkin sınır üzerinde bir portföy oluşturma seçeneğini sun
关键词：Portfolio Management;Portfolio Optimizations;Linear Programming;Unsystematic Risk
其他关键词：Portföy Yönetimi;Portföy Optimizasyonu;Doğrusal Programlama;Sistematik Olmayan Risk