Özet:

Portfolio management has evolved from the mean-variance approach to the mean-semivariance approach because the investors have the tendency to prefer avoiding losses to acquiring equivalent gains and the distribution of return series tends to be non-symmetric. The non-symmetric tendency of stock returns in Emerging Markets also supports the utilization of downside risk measures. The ultimate purpose of the study is to analyze whether the mean-variance approach in portfolio selection causes different results from the mean-semivariance approach. For this purpose, betas and downside betas were obtained with the Single Index Market Model by using the monthly returns of the stocks within the scope of the BIST30 index between the years 2016-2020. Then, the required returns obtained by applying CAPM and D-CAPM were compared with the realized returns, and the stocks with positive and negative alpha were determined. Although there is a statistically significant difference between betas and downside betas, it is one of the most important results of the study that both CAPM and D-CAPM cause similar results in portfolio selection. Another result is that diversification using the mean-semivariance approach is no more successful than diversification using the mean-variance approach. The results of the study are also important in that D-CAPM generates higher required returns than CAPM in Borsa Istanbul as an Emerging Market.

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