Portföylerin VZA'nın Önerileri Doğrultusunda Etkinleştirmesine Yönelik Bir Uygulama

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Yücel L.

Ekonometri ve İstatistik e-dergisi, sa.24, ss.109-131, 2016 (Hakemli Dergi)

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2016
  • Dergi Adı: Ekonometri ve İstatistik e-dergisi
  • Derginin Tarandığı İndeksler: Other Indexes
  • Sayfa Sayıları: ss.109-131
  • İstanbul Üniversitesi Adresli: Evet

Özet

This paper presents an innovative approach about measuring the efficiency of portfolios with Data Envelopment Analysis (DEA). Portfolios are accepted as production units which are assigned to provide return to their investors at the end of the investment period, t=1. Unlike the common sense regarding funds as portfolios and measuring their performances, in this paper the portfolios which are developed from the rough were handled. The efficiency of portfolios were measured with Data Envelopment Analysis by using the set of inputs and outputs which were derived from Markowitz’s Modern Portfolio Theory. Finally, the effects of efficiency concept on realized returns of portfolios at t=1 were examined so as to demystify if realized returns rise or not.