Özet:

The importance of optimization models on financial decision making process has been increasing over time. Markowitz Mean-Variance Method (MV) is the most widely used method by portfolio managers to estimate the minimum risk and maximum return on their portfolios. The purpose of this study is to determine whether an optimal portfolio can be formed by another method, namely, minimum entropy and maximum entropy optimization. By using BIST National – 30 Index data, three portfolios are generated in this study with minimum entropy, maximum entropy, and Markowitz Mean-Variance (MV) methods. First, risk and return of the equally weighted portfolio is calculated. Subsequently, necessary constraints are added, the weights of the portfolios are determined, and three portfolios are formed at the minimum risk and maximum return condition. The performances of the new portfolios are calculated and compared using Sharp Ratio, Treynor Index and Jensen Scale. Based on the results obtained, the most appropriate optimal portfolio and the optimization method is determined and also portfolio weights made predictions for the future and the results obtained indicated reasons.

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