Kuadratik Programlama Tabanlı Modelleme İle Portföy Optimizasyonu: BİST-100 Uygulaması

In this study, optimal portfolio selection is applied to the BIST national 100 companies using the Markowitz quadratic base programming model. In the study, using weekly returns values from BIST 100 companies during the period 02/06/208-28/12/2012, expected returns and variance plus co-variance matrices were obtained and the modelling has been carried out. With the obtained results establish portfolios have been formed, active portfolios have been obtined and efficient frontiers have been drawn. As a result of study, it is observed that according to the invester’s action against risk, portfolios on the efficiency frontier will bring greater returns to investor's who are more open to risk