Performance evaluation of ISE30 (Istanbul Stock Exchange) stock certificates and formation of portfolio by using multi-criteria decision making techniques

Abstract

–Portfolio analysis is done by constructing different models to create the optimum portfolio. The purpose here is to get maximum return with minimum risk. It may not be possible to achieve this through investing on only one stock certificate. Therefore, the best portfolio can be created by portfolio selection by evaluating the return and risk relation of the stock certificates in the portfolio. At this point, diversification of risk is important. In this way, it can be protected by investments in another sector from negative situations that can occur in one sector. This is a balance factor. When creating diversity, it is also important to determine which securities and ratio to invest.Chronologically, the traditional portfolio approach continued to be valid until the early 1950s. In 1952, modern portfolio approach developed by Henry Markowitz emerged. Nowadays, the adequacy of the portfolios created by the modern portfolio approach is also debatable. In this study, performance evaluation of ISE30 stocks certificates was made with data set dated as June, 2018 and an optimum portfolio was created. The variables of Beta Coefficient, Relative Strength Index (RSI), Commodity Channel Index (CCI), Stochastic Momentum Index (SMI), Price/Earning Ratio, Market Value/Book Value Ratio were used during evaluation. One of the Multi-Criteria Decision Making Techniques, TOPSIS was used as a method. Moreover, Path Analysis was used to determine the relationships between variables.