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Abstract


In The Portfolio Management, Linear Programming Model Suggestion Which Decreases Unsystematic Risk
Investors are supposed to prefer investment with much advantage but low risk while managing financial assets. The studies about the portfolio management usually focus on the portfolio diversification. However traditional portfolio management attaches importance to variation to decrease portfolio risk, modern ones offer an alternative to investors in an active border to create a portfolio with mathematical and statistical methods by using the past quantitative knowledge. Markowitz, one of the pioneers of the potfolio management has considered the standart deviation as a risk. The abundance in the number of the selected shares make it hard to calculate the standart deviation instead of standart one. So they suggested the linear programming model as a portfolio suggestion. The models of them don’t interfere with the number of shares and its distrubution of industry branches. As a result, the portfolio might consist of the sole shares theorotically. To prevent the bad sides mentioned in the study, a linear programming that provides the maximum expected return to investors, a new model suggestion has been made by widining the additional constraints of Konno, Yamazaki’s model.

Keywords
Portfolio Management, Portfolio Optimizations, Linear Programming, Unsystematic Risk,



Kaynakça

Adres :Çankırı Karatekin Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Uluyazı Kampüsü, Merkez-ÇANKIRI/TÜRKİYE
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