{"title":"构建投资组合的算法方法:土耳其股市案例","authors":"Mehmet Gülşen, Burak Yıldız","doi":"10.1016/j.bir.2024.10.002","DOIUrl":null,"url":null,"abstract":"<div><div>The goal of building a diversified portfolio is to mitigate risks and manage risk-reward tradeoffs. Diversification is also crucial for ensuring the long-term success of a portfolio. Although passive investment has been on the rise in most developed markets, it has not gained wider acceptance in some emerging markets, such as Türkiye. This study proposes an approach to construct a diversified portfolio that serves as a passive investment tool in the context of the Turkish stock market. Despite the long history of equity markets in Türkiye, almost all available passive investment alternatives are prohibitively expensive, unlike those in developed markets. We design a simple methodology that addresses the essential components of building a successful portfolio while avoiding excessive fees. Additionally, we propose a dynamic balancing strategy that algorithmically adjusts the weight of each stock in the portfolio. We test this approach with historical data, demonstrating that it can achieve reasonable returns with minimal effort. Even when its performance does not beat the benchmark, the percentage deviation is still below the management fees charged for alternative investments.</div></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 6","pages":"Pages 1373-1380"},"PeriodicalIF":6.3000,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"An algorithmic approach to portfolio construction: A Turkish stock market case\",\"authors\":\"Mehmet Gülşen, Burak Yıldız\",\"doi\":\"10.1016/j.bir.2024.10.002\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>The goal of building a diversified portfolio is to mitigate risks and manage risk-reward tradeoffs. Diversification is also crucial for ensuring the long-term success of a portfolio. Although passive investment has been on the rise in most developed markets, it has not gained wider acceptance in some emerging markets, such as Türkiye. This study proposes an approach to construct a diversified portfolio that serves as a passive investment tool in the context of the Turkish stock market. Despite the long history of equity markets in Türkiye, almost all available passive investment alternatives are prohibitively expensive, unlike those in developed markets. We design a simple methodology that addresses the essential components of building a successful portfolio while avoiding excessive fees. Additionally, we propose a dynamic balancing strategy that algorithmically adjusts the weight of each stock in the portfolio. We test this approach with historical data, demonstrating that it can achieve reasonable returns with minimal effort. Even when its performance does not beat the benchmark, the percentage deviation is still below the management fees charged for alternative investments.</div></div>\",\"PeriodicalId\":46690,\"journal\":{\"name\":\"Borsa Istanbul Review\",\"volume\":\"24 6\",\"pages\":\"Pages 1373-1380\"},\"PeriodicalIF\":6.3000,\"publicationDate\":\"2024-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Borsa Istanbul Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214845024001352\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845024001352","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
An algorithmic approach to portfolio construction: A Turkish stock market case
The goal of building a diversified portfolio is to mitigate risks and manage risk-reward tradeoffs. Diversification is also crucial for ensuring the long-term success of a portfolio. Although passive investment has been on the rise in most developed markets, it has not gained wider acceptance in some emerging markets, such as Türkiye. This study proposes an approach to construct a diversified portfolio that serves as a passive investment tool in the context of the Turkish stock market. Despite the long history of equity markets in Türkiye, almost all available passive investment alternatives are prohibitively expensive, unlike those in developed markets. We design a simple methodology that addresses the essential components of building a successful portfolio while avoiding excessive fees. Additionally, we propose a dynamic balancing strategy that algorithmically adjusts the weight of each stock in the portfolio. We test this approach with historical data, demonstrating that it can achieve reasonable returns with minimal effort. Even when its performance does not beat the benchmark, the percentage deviation is still below the management fees charged for alternative investments.
期刊介绍:
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations