Portfolio optimization via stochastic programming: An application on the İstanbul Stock Exchange

Asset allocation is a systematic method used to make an investment between different investment categories. It aims to set the best technique to allocate the investable assets into different asset classes. The asset allocation decision determines the ultimate risk and return of a portfolio. However, the future cannot be perfectly forecasted but instead it should be considered random or uncertain. In this paper, daily data of the stock yields obtained from Istanbul Stock Exchange (ISE) between January - April 2008 for the application of the asset allocation problem. Considering different types of investors, six different scenarios are built for various stocks, and it is aimed to have the maximum profit by solving these scenarios.