Olabilirlik ortalama – varyans modelinin matematiksel analizi

Furkan Goktas, Ahmet Duran

Öz


Olabilirlik ortalama – varyans (OV) modeli, kesin olmayan olasılığın modellenebilmesine ve kişisel yargıların ve beklentilerin portföy seçimi problemine entegre edilebilmesine imkan verir.  Bu nedenle Markovitz’in geleneksel OV modelinin dikkate değer bir alternatifidir.  Bu çalışmada varlık getirilerinin olabilirlik dağılımlarının üçgensel bulanık sayılar ile verildiği varsayımı altında bu modelin matematiksel analizi yapılmıştır.  Bu kapsamda performansı ya da faydayı maksimum yapan portföyler analitik olarak elde edilmiştir.  Ayrıca bu modelin verdiği etkin sınırın yapısı örnekler ile açıklanmıştır.


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