Akademik Veri Yönetim Sistemi
Investment Management and Financial Innovations, cilt.6, sa.3, ss.43-53, 2009 (Scopus)
Markowitz's mean-variance analysis, a well known financial optimization technique, has a crucial role for the financial decision makers. This quadratic programming method determines the optimal portfolios within the risk-return perspective. Estimation of the expected returns and the covariances for the financial assets has a significant importance in quantitative portfolio management. The famous financial models used in estimating the input parameters are CAPM, Three Factor Model and Characteristic Model. The goal of this study is to investigate the significance of asset pricing models in the Markowitz's mean-variance optimization technique for the different Turkish benchmark indices. The optimized risky financial assets have demonstrated higher portfolio risks rather than risky portfolios with risk-free assets. Portfolio risk is found lower for CAPM, Three Factor Model and Characteristics Model, however higher for naive returns. The performances of optimized CAPM portfolios are higher than multi-factor models. Consequently, asset pricing models have significant role in the Markowitz's mean-variance optimization technique since they provide higher portfolio performances with lower risks than the optimized portfolios of naive returns. © Fazil Gökgöz, 2009.