Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması

Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing return and minimizing risk. The problem of determining an efficient frontier is known to be NP-hard. Due to the complexity of the problem, genetic algorithms have been widely employed by a growing number of researchers to solve this problem. In this study, a literature review of genetic algorithms implementations on mean-variance portfolio optimization is examined from the recent published literature. Main specifications of the problems studied and the specifications of suggested genetic algorithms have been summarized

Severance payment fund accounting and the actuarial calculation of premium rate

Kıdem tazminatı, İş Hukukumuza 1936 yılında 3008 sayılı İş Kanunu ile girmiştir. Yıllar itibari ile İş Hukuku’ndaki değişiklikler sonucu kıdem tazminatı; işçi açısından giderek önemi artan bir hak, işveren açısından ise yükü giderek artan bir maliyet unsuru haline gelmiştir. İlk defa 1975 yılında fon kavramından bahsedilmiş ve 2002 yılında Kıdem Tazminatı Fonu Yasa Tasarısı gündeme gelmiştir. Literatürde, kıdem tazminatı fonunun muhasebe ve finansman açısından ne gibi etkileri olacağı üzerine herhangi bir akademik çalışmaya rastlanılmamaktadır. Bu çalışma, Kıdem Tazminatı Fonu Yasa Tasarısı yasalaşması durumunda prim oranının nasıl belirlenmesi gerektiği ve muhasebe kayıtlarının nasıl yapılacağını belirleme amacı taşımaktadır. Aktüeryal prim oranı hesaplamaları, regresyon modeli ile oluşturulan çeşitli senaryolar altında yapılmış ve prim oranının % 6 civarında olmasının her iki taraf açısından en uygun çözüm olduğu sonucuna ulaşılmıştır. Ayrıca, bir maliyet unsuru olan kıdem tazminatının, prim tutarları muhasebesinin basitleştirilmesi üzerine tartışılmış ve kayıtlar konusunda muhasebe temel kavramları çerçevesinde öneriler sunulmuştur

The effect of economic crisis on dividend policy of ISE companies

Tasarruflarını sermaye piyasalarında değerlendiren yatırımcılar açısından sermaye kazancı ve temettü getirisi olmak üzere, iki tür kazanç söz konusudur. Ortaklık ilişkisinden doğan bir hak olan temettü getirisi firma ortaklığının, firmanın elde ettiği net kardan pay alma hakkıdır. Firma açısından temettü politikası öz kaynak yapısının belirleyicisi olması, yatırımcı açısından ise beklenen bir kazanç niteliği taşıması nedeniyle oldukça önemlidir. Çalışmanın amacı krizlerin İstanbul Menkul Kıymetler Borsası’nda işlem gören firmaların temettü politikalarını nasıl etkilediğini incelemektir. Bu amaç doğrultusunda, öncelikle Lintner modeli (1956) temel alınarak, İstanbul Menkul Kıymetler Borsası’nda (İMKB) 1986- 2010 dönemleri için nakit temettü ödemesi yapan firmaların düzeltme hızları ve hedeflenen temettü ödeme oranlarının değişimi incelenmiş; daha sonra ise krizlerin temettü politikaları üzerindeki etkisi Chow Testi ile analiz edilmiştir. Elde edilen sonuçlara göre, 1986-2010 dönemlerinde sabit bir temettü ödeme oranının olmadığı ve kriz etkileri ile yapısal kırılmalara uğrayan bir temettü ödeme sisteminin varlığı tespit edilmiştir. Ayrıca Chow Testi sonuçlarında analize konu olan dönemlerde, piyasada 1998–2001 yıllarının ayırdığı iki temel temettü politikasının varlığı gözlemlenmiştir

The impact size of financial information on return on equity: Dupont approach

In this paper, it is aimed to find out the impact size of financial information on the firms’ Return on Equities (ROE). To conduct the analysis, 54 firms traded in Borsa Istanbul are selected from several sectors such as metal, textile and cement industries. The dispersion of the firms are as follows; 16 from metal, 12 from textile and 26 from cement industry. The data used in analysis gathered from Bloomberg Terminal Database for the period 2012-2016, annually. To determine the impact size of financial information on ROE financial ratios of Dupont Analysis; Profit Margin, Asset Turnover and Financial Multiplier, i.e. Financial Leverage; are used as the input variables whereas ROE is considered as the output variable. In accordance with the purpose of study, Support Vector Machine (SVM) methodology is applied to the data. SVM regression models have been employed for modeling nonlinear dynamics for various purposes successfully due to their peculiar properties namely high generalization capability and the assurance of global minimum. Based on the Statistical Learning theory and the Structural Risk Minimization principle, SVM approaches solve any regression problems by transforming the regression problem into a quadratic programming problem. Recently, SVM-based algorithms have been developed very rapidly and have been applied to many areas. The results of the analysis shows that the impact size of Profit Margin, Asset Turnover and Financial Multiplier variables differs sector-by-sector. Such that Financial Multiplier has the highest impact size on ROE in metal industry whereas Asset Turnover has the highest impact size on ROE in both textile and cement industries. The outcomes of the study can help to shape strategic plans (such as capital structure, capital budgeting decisions) of policy makers from different sectors

Efficient frontier approach to determine performance of individual pension fund companies: Evidence from Turkey

In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by private insurance companies. Individual pension fund system in Turkey, not only serves to social security reform but also has an important role in the development of the financial system since October 27, 2003. Every private insurance company has their own pension fund types that investors may choose them and create their portfolios. Although there are many studies to measure the performances of the pension funds in the literature, such as Sharpe Ratio, Treyner Ratio, etc. It is well known that those performance ratios focus on the risk-free rates and the market indexes as a benchmark to measure the performance of funds as well as pension fund companies. In this study, we propose a new approach to measure pension fund companies’ performances by presenting a new benchmark namely the efficient frontier generated by all individual pension funds. In this paper, to measure the performance of pension fund companies, all individual pension funds are grouped in terms of their own companies and created optimal portfolios for different levels of risks i.e. efficient frontiers. Then efficient frontier of each company is compared to the benchmark efficient frontier. According to the comparison of efficient frontiers, the companies’ performances are discussed from the closest to the most distant. Within the scope of this study, 176 individual pension funds from 16 pension fund companies were used and the pension funds daily return data gathered from The Capital Markets Board’s database for the period of 2006 – 2016. The analyses based on seven research sample windows which contains different time periods for comparing the efficient frontiers (2006-2016; 2007-2016; 2008-2016; 2009-2016; 2011-2016; 2012-2016; 2013-2016). It is concluded that according to the widest three sample windows, Anadolu Hayat Emeklilik portfolio has the closest efficient frontier to benchmark efficient frontier (2006-2016; 2007-2016; 2008-2016). On the other hand, while sample windows narrowed, Avivasa Emeklilik ve Hayat portfolio and Allianz Hayat ve Emeklilik portfolio have the closest to the benchmark efficient frontier (2009-2016; 2011-2016; 2012-2016; 2013-2016). As a result, considering the over eight years’ performances, Anadolu Hayat Emeklilik portfolio has the highest returns. On the other hand, according to the less than eight years’ performances, Avivasa Emeklilik ve Hayat and Allianz Hayat ve Emeklilik portfolios have the highest returns

Türk bankacılık sektöründe hisse senedi performansı ve etkinlik arasındaki ilişki

This study aims to investigate the relationship between efficiency and the stock performance of the banking sector in Turkey. Efficiency analysis is conducted via Stochastic Frontier Analysis (SFA). Subsequently, the market-to-book value as a measure of stock performance is regressed against the percentage change in efficiency using panel data analysis. SFA shows that the concentration ratios and capital adequacy ratio have a positive effect on the efficiency of stocks, whereas the number of employees per unit of branches and age influence stocks negatively. The results also show that investors perceive efficiency to be a significant factor in terms of stock performance.Bu çalışma Türkiye’deki bankacılık sektöründeki hisse senedi performansı ve etkinlik arasındaki ilişkiyi analiz etmektir. Etkinlik analizleri Stokastik Frontier Analizi (SFA) ile gerçekleştirilmiştir. Daha sonra bir hisse senedi performans ölçümü olarak piyasa defter değeri, panel veri analizleri kullanılarak etkinliğin oransal değişimiyle regresyona tabi tutulmuştur. SFA, şube başına çalışan sayısı ve banka yaşı hisse senetlerinin etkinlikleri üzerinde negatif yoğunlaşma oranı ve sermaye yeterlilik oranı pozitif bir etkiye sahip olduğunu göstermiştir. Sonuçlar aynı zamanda hisse senedi performansını değerlendirirken bankaların etkinlik seviyesini anlamlı bir faktör olarak dikkate aldıklarını göstermiştir

The impact of accounting-based information on the financial beta: Case for cement industry in Turkey

In financial theory, the cost of equity is defined as a return that stockholders require for a company. It has a vital importance for corporations in evaluation of investment opportunities. There are several methods to calculate the cost of equity including Capital Asset Pricing Model (CAPM). The CAPM is a commonly used method but it has a major restriction. It can be used only for publicly traded corporations not for non-public corporations because it requires stock return data to estimate Financial Beta. When the stock price is not available for a firm, finance literature suggests that Accounting Beta can be used as a proxy of financial beta to estimate the cost of equity. Most of researchers have aimed to find a relationship between financial beta and accounting variables. However, they used correlation or regression based approaches. The purpose of this study is to evaluate the impact of accounting-based information on the financial Beta through a non-linear approach, namely Support Vector Machines (SVM). Most of the studies in finance literature focus on the linear relationship between Betas and accounting variables and the results reveal that the explanatory powers of linear models are limited. To avoid this problem, this study applies SVM as an alternative method to analyze the size of impact of accounting variables on the financial Betas rather than estimating a linear model. Based on Statistical Learning Theory and Structural Risk Minimization Principle, the SVM algorithms are able to solve regression problems without getting stuck in local minima. They achieve the global solution by transforming the regression problem into a quadratic programming (QP) problem and then solving it by any QP solver. Recently, SVM-based algorithms have been developed very rapidly and have been applied to many areas. Finding global solution and having higher generalization potential constitute the major advantages of the SVM algorithms over other regression techniques.In this study, the accounting information is represented by current ratio, quick ratio, net profit margin, assent turnover, return on assets, return on equity, financial leverage and logarithmic total assets over 2005-2014 period. In addition to that, financial betas of cement firms traded in Borsa Istanbul (BIST) are calculated for each year. The result of the study illustrates that financial leverage, the size and asset turnover have the highest impact on financial beta, respectively

The Relationship between Stock Performance and the Efficiency in Turkish Banking Sector

Bu çalışma Türkiye’deki bankacılık sektöründeki hisse senedi performansı ve etkinlik arasındaki ilişkiyi analiz etmektir. Etkinlik analizleri Stokastik Frontier Analizi (SFA) ile gerçekleştirilmiştir. Daha sonra bir hisse senedi performans ölçümü olarak piyasa defter değeri, panel veri analizleri kullanılarak etkinliğin oransal değişimiyle regresyona tabi tutulmuştur. SFA, şube başına çalışan sayısı ve banka yaşı hisse senetlerinin etkinlikleri üzerinde negatif yoğunlaşma oranı ve sermaye yeterlilik oranı pozitif bir etkiye sahip olduğunu göstermiştir. Sonuçlar aynı zamanda hisse senedi performansını değerlendirirken bankaların etkinlik seviyesini anlamlı bir faktör olarak dikkate aldıklarını göstermiştir.This study aims to investigate the relationship between efficiency and the stock performance of the banking sector in Turkey. Efficiency analysis is conducted via Stochastic Frontier Analysis (SFA). Subsequently, the market-to-book value as a measure of stock performance is regressed against the percentage change in efficiency using panel data analysis. SFA shows that the concentration ratios and capital adequacy ratio have a positive effect on the efficiency of stocks, whereas the number of employees per unit of branches and age influence stocks negatively. The results also show that investors perceive efficiency to be a significant factor in terms of stock performance

Estimating Systematic Risk: Case For Borsa Istanbul

The structure of the data set has a great impact on the estimation results. Especially the methods, which are affected by outliers like Ordinary Least Squares OLS , will lead to biased results. For this reason robust estimation techniques are required. To investigate this structure, 237 stocks in Borsa Istanbul BIST is estimated using OLS and Least Median Squares LMS method between the years of 2001-2004. Beta coefficients are computed based on OLS and LMS methods using market model. It was found that LMS produce robust results in the presence of multivariate outliers. Especially, in case of the volatile stocks, LMS is one of the appropriate techniques to get robust result