Portfolio optimization with goal programming

PORTFOL O OPTIMIZATION WITH GOAL PROGRAMMING(M. Sc. Thesis)Halil brahim AKYÜZGAZ UNIVERSITYINSTUTE OF SCIENCE AND TECHNOLOGYSeptember 2006ABSTRACTPortfolio optimization is very important in these days. Because the investorsdon?t want to lose their money's buying power, they invest. But there are manyinvestment tools available to invest with. So where should the investor invest hismoney to get more profit? Of course you have to accept a risk while investing,the more you want to win, the more risks you have to put forth. So how couldthis return on investment rate be used on maximum efficiency. There is aprogramming model which is used for this. This goal programming model helpsto define this border and at the same time helps the investor.Here are the primary sectors in which goal programming techniques are used,such as finance, economy, insurance and banking sectors. Also this technique isvery useful.Markowitz-mean variance model has been used to construct this model.Portfolio's risk has been tried to be reduced by variating this model. Whiledoing variations, the relations between investments tools are very important sosuch a model is formed taking this relation into consideration.The most important feature of this that it is formed with the investments whichcan reduce the risks to the least by using the relations between the investmentsthat are to be included on portfolio.Science Code :205.1.148Key Words :Markowitz-Mean Variance model, GoalProgramming, MKB-30, portfolio optimization,nvestment Tools, Risk, Return.Page Number :106Adviser :Prof. Dr. Hasan BAL