Risk Temelli Modellerle Oluşturulan Portföylerin Analizi: Borsa İstanbul Sürdürülebilirlik Endeksinde Uygulamalar
Analysis of Portfolios Constructed Using Risk-Based Models: Applications in the Borsa Istanbul Sustainability Index

Summary/Abstract: The main objective of this research is to examine the out-of-sample risk analysis of portfolio optimization conducted using different sampling windows and risk metrics. A secondary objective of the study is to compare portfolios formed by companies with high sustainability scores against market indices. Portfolio weights were calculated using risk-based models for 252, 504, 756, 1008 and 1256-day windows, utilizing stocks listed in the Sustainability 25 Index (XSD25) during the January-March 2025 period. Weights based on each measure including variance, semi-variance, conditional value at risk, mean absolute deviation, and correlation were generated through Monte Carlo simulation. The results provide evidence that the less risky portfolios can be constructed from sustainability index components compared to benchmark indices. Furthermore, the results show that the characteristics of the risk metrics used are the dominant factor in portfolio optimization, independent of the sample size. This study is considered to contribute to the literature by examining how sample size influences portfolio optimization results and exploring how various risk measures affect asset allocation and portfolio performance.

• Details
• Contents