Portfolio optimization with semi-variance model: BIST 100 index application

With portfolio optimization, maximizing return while maximizing risk has been one of the important issues that investors and researchers have been working on for many years. With the studies, it has gained importance for the investor that the risk phenomenon is more important than the expected return. After assuming that the primary objective of the investor is to minimize the risk, researchers and investors are focused on risk-based methods. Yarı -variance model is one of these methods. In the yarı -variance model, the below-average returns are taken into account. In this respect, according to the commonly used variance in risk measurement, information can be obtained about investing in a more appropriate manner to the risk perception of the investor. The main objective of the study is to compare these two methods with the data obtained from BIST-100 Index. As a result of the study; It is understood that portfolios with low risk tolerances to be created according to semi-variance protect the investor better than negative return risk and systematic risk. Key Words: Semi Variance, Portfolio Optimization, Investment, Risk