Abstract:

Decision making and to put into practice has a hard and long process in portfolio selection and risk menagement like any other area in investment world Tehere are lots of probability for selection the most suitable portfolio fitting that satisfy the investors and decision makers criterias In this project Markowitz portfolio selection model is applied to the ISE 30 companies stocks First of all Markowitz portfolio selection model which is the for of quadratic programming was modified to compose a portfolio which which has the same risk return strucure with tht ISE 30 index and using 12 months return values of ISE 30 companies during January 2005 – December 2005 expected return and variance – covariance martrices were obtained and the model was solved Then using standart quadratic programming model portfolio weights which have the same return level with ISE 30 index but have higher return than ISE 30 index were determined Finally portfolio weights which have the same risk level with ISE 30 index but have higher return than ISE 30 index were determined As a result of in this study it is shown that complex portfolio selection models that have complex mathematical structure can be solved fastly and efficiently using computer programs and scenarios are obtained for the purpose of helping investor’s decisions Keywords: Portfolio Optimization; Capital Markets ; Portfolio Selection

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