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Five years of risk and portfolio management research experience. Specialist in financial risk modeling, portfolio optimization and Value At Risk (VaR). Five-year work experience as derivative instruments expert at Turkish Derivatives Exchange (Turkdex). M.Sc. in Risk and Asset Management, EDHEC Business School. Developed a portfolio optimizer and pairs trading algorithm.
Mutual Fund Manager.
Bonds, Dividend stock ideas & income, ETFs, Energy stocks, Foreign stocks, Forex, Gold, Mutual funds, Options, Stocks - long, Stocks - short, Tech stocks
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Paper: Improving Portfolio Optimization by DCC and DECO-GARCH: Evidence from Istanbul Stock Exchange
Abstract- In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECOGARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility. Also, the performance of GMV portfolios are tested
against that of equally weighted and cap weighted portfolios. Portfolios are constructed from the stocks listed in Istanbul Stock Exchange 30 index (hereafter, ISE-30). The results show that GMV portfolios constructed by DCC-GARCH outperformed the other portfolios. In addition, the performance of GMV portfolios estimated by DCC and DECO-GARCH methods are improved by extending calibration period from three years to four years and lowering rolling window term from one week to one day, while the performances of other GMV portfolios decrease. It shows the effect of time varying variance and dynamic correlations on portfolio optimization at Turkish stock market.
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