Özet:

In this study, aimed to test the applicability of Elton-Gruber (1995) Portfolio Selection Method developed under the Single-Index Model and Mean-Variance Model of Markowitz (1952) on SEI-50 (Stock Exchange Istanbul-National 50 Index). In the study, used daily closing values of all stocks traded in SEI-50 between the date of 1 August to 30 September 2013. Returns of dialy closing datas calculate through natural logarithm and process of optimization was performed using MS Office Excel Solver plugin. Stocks that included to portfolio through Elton-Gruber Method found using MS Office Excel, either. At the end of study, When applied to constraint of Markowitz Quadratic Programming risk and return ratios that obtained through Elton-Gruber Method, could obtain a new portfolio which has higher returns, lower risk and higher Sharpe ratio

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