Bulanık Konno Yamazaki doğrusal programlama modeli kullanılarak uluslararası çeşitlendirilme ile portföy optimizasyonu: gelişmiş ve gelişmekte olan ülkelerin hisse senedi endeksleri üzerine bir uygulama

Abstract

The aim of this study is to evaluate the results of portfolio optimization realized by international diversification in terms of developed and emerging countries. In this context, the monthly percentages return of the prominent stock indexes of 15 developed and 15 emerging countries included in the analysis between January 2010 and December 2017 were used in the study. Portfolio optimizations have been made by index returns of both developed countries, emerging countries and developed and emerging countries together. The optimal portfolio with the highest return and highest risk as a result of optimization is the portfolio created using the index returns of the emerging countries. The optimal portfolio with the lowest return and lowest risk is the portfolio created by using index return of developed countries. The portfolio formed by the combined use of index returns of developed and emerging countries has a lower risk than portfolio risk created by the indexes of emerging countries and has a higher return than the portfolio created by index of developed countries. In this context, it may be suggested that investors who target higher returns prefer portfolios with index of emerging countries; investors prefer lower risk, they may opt for portfolios of index of developed countries