Criteria determined in the selection of optimal portfolio: An application used on BIST-30 companies

In his article titled "portfolio seleciton" published in 1952, Markowitz; stated that the portfolio risk may be less than the risk of the assets that make up the portfolio and that non-systematic risk can be zero (Markowitz, 1952). In this context, the management of non-systematic risk is important in terms of attracting investors in companies traded on the stock exchange and obtaining a higher return for stock investors. Among the criteria determined in the selection of the optimal portfolio; Debt to Equity Ratio and Return on Equity Ratio analysis are among the criteria determined in the optimal portfolio selection, as the companies provide information about how they manage the non-systematic risk factors, namely financial risk, management risk, business and industry risk. Another criterion, Beta Coefficient; is a value used to analyze the sensitivity of the portfolios or stocks against the market portfolio (return) and is an indicator of systematic risk. As a result of the studies carried out by academicians in many different fields, especially historians, they have revealed that history sheds light on the future and historical data explains possible events that may occur in the future. In this context, the analysis of the stock returns of the past year is the last criterion determined as it provides great convenience in predicting the returns of the future periods. The aim of the study; according to the determined criteria, is to find an answer to the question of whether the optimal portfolios that includes maximum return and minimum risk can be obtained. The informations to be obtained as a result of the analysis; It is envisaged that the debt to equity ratio, return on equity ratio, beta coefficient and past year market return will contribute to stock market investors, company owners, shareholders and financial literature as they reveal the relationship between the returns and risk levels of the portfolios to be created. Return and risk analysis results of created portfolios; 14. Portfolio: 0.0603 (5 companies with the highest previous year market return), 3. Portfolio: 0.0472 (5 companies with the lowest debt to equity ratio), 5. Portfolio: 0.0276 (10 companies with a debt to equity ratio less than 2 companies)), 8. Portfolio: 0.0250 (9 companies with a return on equity ratio greater than 0.20), 11. Portfolio: 0.0213 (5 companies with a beta coefficient less than 1) and 16. Portfolio: 0.0096 (11 companies with the previous year market return greater than 0.20 percent ). When we rank from small to large in terms of risk; 11. Portfolio: 1.3213 (5 companies with Beta Coefficient less than 1), 5. Portfolio: 1.4376 (10 companies with debt to equity ratio less than 2), 8. Portfolio: 1.4424 (9 companies with a return on equity ratio greater than 0.20), 16. Portfolio: 1.4437 (11 companies with a previous year market return greater than 0.20 percent), 14. Portfolio: 1.7905 (5 companies with the highest previous year market return) and 3. Portfolio: 1.8990 (5 companies with the lowest debt to equity ratio).