MARC details
| 000 -LEADER |
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| fixed length control field |
04153nam a2200397 i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
200436491 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
TR-AnTOB |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20230324105747.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
ta |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
s2009 tu ab e mmmm 000 0 tur d |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(TR-AnTOB)200452597 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
TR-AnTOB |
| Language of cataloging |
eng |
| Description conventions |
rda |
| Transcribing agency |
TR-AnTOB |
| 041 0# - LANGUAGE CODE |
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| Language code of text/sound track or separate title |
Türkçe |
| 099 ## - LOCAL FREE-TEXT CALL NUMBER (OCLC) |
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| Classification number |
TEZ GAZI SBE İKT Ph.D'09 DAĞ |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Gökmen, Yunus |
| Relator term |
author |
| 9 (RLIN) |
141336 |
| 245 10 - TITLE STATEMENT |
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| Title |
Stokastik programlama ile optimal portföy oluşturma / |
| Statement of responsibility, etc. |
Yunus Gökmen ; thesis advisor Nihat Bozdağ. |
| 246 ## - VARYING FORM OF TITLE |
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| Title proper/short title |
Constituting optimal portfolio with stochastic programming |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
Ankara : |
| Name of producer, publisher, distributor, manufacturer |
Gazi Üniversitesi Sosyal Bilimler Enstitüsü, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
ix, 231 pages : |
| Other physical details |
illustrations ; |
| Dimensions |
30 cm |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
unmediated |
| Media type code |
n |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
volume |
| Carrier type code |
nc |
| Source |
rdacarrier |
| 502 ## - DISSERTATION NOTE |
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| Dissertation note |
Tez (Doktora)--Gazi Üniversitesi Sosyal Bilimler Enstitüsü 2009 |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Bu çalışmada; 1950'li yıllarla birlikte büyük bir ivme kazanan portföy optimizasyon problemleri ele alınmış, ilk olarak belirsizliğin nasıl kestirileceği hususu üzerinde durulmuş ve finansal yatırım araçlarının gelecekteki değerlerini öngörmede literatürde de etkin olarak kullanılan VAR yöntemi kullanılmıştır. VAR yönteminden elde edilen sürekli rasgele değişkenlerin stokastik programlama modelinde kullanılabilmesi için kesikli hale getirilmesi gerektiğinden; Høyland ve Wallace(2001) tarafından geliştirilen Moment Eşleştirme Yöntemine yeni bir yaklaşım getirilerek değişkenlerin kesikli hale dönüştürülmesinde daha etkin ve gerçekçi sonuçlar elde edilmiştir. Diğer yandan yatırımcının riske karşı tutumları, Dempster ve başk.(2003)'nın çalışmalarında ortaya koyduğu gibi en etkin yöntem olan Aşağıya Doğru-Karesel(Downside-Quadratic) Fayda Fonksiyonu ile modele dahil edilmiştir. Elde edilen tüm veriler kullanılarak senaryo ağacı oluşturulmuş ve model büyük bir esneklik sağlayan dinamik stokastik programlama ile çözülmüştür. Oluşturulan 3 periyotlu dinamik yapıdaki model yatırımcıya çok yönlü ve gerçekçi bir yatırım süreci sağlamaktadır. Yatırımcı hem riske karşı tutumunu modele etkin bir şekilde dahil edebilmekte, bunun yanında yatırım sürecinde değişen durumlar için esnek bir yapı oluşturabilmektedir. |
|
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| Summary, etc. |
In this study, the portfolio optimization problems that had a enormus acceleration in the 1950?s was discussed. At first, it was deliberated that how to forecast the uncertainty and VAR method that was effectively applied in the literature for anticipating the future value of financial investment instruments was used in this application. The continuous random variables obtained from VAR method must be convert into discrete random variables to use in stochastic programing model. Therefore, a new approach was executed by improving the moment-matching method of Høyland and Wallace(2001) and it was obtained more effective and genuine result from this new approach in the acting of discretization. On the other hand, the investor?s attitude toward to risk was involed in the model by using Downside-Quadratic Utililty Function that was executed as the most powerful method by Dempster et al.(2003) with their application. The scenario tree was constructed by using all of the data obtained from new approach and the model was solved with stochastic dynamic/recourse programming that provide wide flexibility. Three-period dynamic model that was constituted supplies versatile and realistic investment process. Not only investor can incorporate his attitude toward to risk in the model, but also he can constitute flexible structure for changing state in investment process. |
| 653 ## - INDEX TERM--UNCONTROLLED |
|---|
| Uncontrolled term |
Porfolio optimization |
|
|---|
| Uncontrolled term |
VAR method |
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| Uncontrolled term |
Moment matching |
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| Uncontrolled term |
Scenario tree |
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| Uncontrolled term |
Utility function |
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| Uncontrolled term |
Stochastic programming |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Bozdağ, Nihat |
| Relator term |
advisor |
| 9 (RLIN) |
141337 |
| Dates associated with a name |
1953- |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
Gazi Üniversitesi. |
| Subordinate unit |
Sosyal Bilimler Enstitüsü |
| 9 (RLIN) |
44674 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Koha item type |
Thesis |
| Source of classification or shelving scheme |
Other/Generic Classification Scheme |
