Portfolio selection and return performance: An application of the Black-Litterman method in The Istanbul Stock Exchange

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2011

Öğrenci: MEHMET BURAK BOZDEMİR

Danışman: SEZA DANIŞOĞLU

Özet:

An Application of the Black-Litterman Method in the Istanbul Stock Exchange Bozdemir, Mehmet Burak M.Sc, Department of Financial Mathematics Supervisor : Assist. Prof. Dr. Seza DanıĢoğlu September 2011, 58 pages In this study, Black-Litterman method is examined, and an emprical study is conducted for Turkish Stock Market, using Black-Litterman method with quantitative views. As the quantitative model, AR(1) model is selected to generate the investor views. Expected returns implied by the Capital Asset Pricing Model (CAPM) is blended with the expected returns forecasted by AR(1) model. The performance of the resulting Black-Litterman portfolio is compared with the performance of the market portfolio. It is found that the Black-Litterman portfolio, with views coming from AR(1) model, does not perform better than the market portfolio. However, the difference between the two strategies is not found to be statistically significant.