Opsiyonlardan elde edilen bilgilerle portföy optimizasyonu: Borsa İstanbul'da bir uygulama

This study explores if optimal portfolios based on option-implied information perform better than optimal portfolios based on historical information. We used option prices of 20 stocks, which have been trading in the Futures and Options Market of Borsa İstanbul. The sample period is from March 2017 to July 2018. We developed portfolio optimization models using option prices as well as mean variance and minimum variance portfolios using historical stock price data. We calculated implied volatility of the sample stocks from option prices using Black-Scholes option pricing model. We employed Buss and Vilkov's model for the calculation of implied correlations between stocks. Option implied mean variance and option implied minimum variance portfolios are based on the covariance metrics developed after historical information is replaced by option-implied information. For the evaluation of portfolio performance, we used the following three criteria: annualized portfolio return, annualized portfolio volatility and portfolio Sharpe ratio. Then, we test if creating portfolios with option-implied information can yield better performance measures than portfolios that ignore option-implied information. The findings show that optimal portfolios based on option-implied information perform better than optimal portfolios based on historical information. Keywords: Portfolio optimization, Historical volatility, Option-implied volatility, Portfolio performance, Borsa İstanbul