Browsing Faculty of Engineering by Author "Organ, Zeynel Batuhan"
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An extension to the classical mean–variance portfolio optimization model
Ötken, Çelen Naz; Organ, Zeynel Batuhan; Yıldırım, Elif Ceren; Çamlıca, Mustafa; Cantürk, Volkan Selim; Duman, Ekrem; Teksan, Zehra Melis; Kayış, Enis (Taylor & Francis, 2019-07)The purpose of this study is to find a portfolio that maximizes the risk-adjusted returns subject to constraints frequently faced during portfolio management by extending the classical Markowitz mean-variance portfolio ...
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