Genetik Algortima ile Portföy Seçiminde Kriz Dönemi Etkisi, BİST-30’da Bir Uygulama
Effect of Crisis Period on Portfolio Selection with Genetic Algorithm An Application on BİST-30

Aim: Our main goal in the study is to show whether the use of genetic algorithms in portfolio optimization differs in terms of financial crisis periods. Method: In order to demonstrate the effectiveness of the use of genetic algorithms in crisis peri

Summary/Abstract: Aim: Our main goal in the study is to show whether the use of genetic algorithms in portfolio optimization differs in terms of financial crisis periods.Method: In order to demonstrate the effectiveness of the use of genetic algorithms in crisis periods, we have tried to optimize the portfolio by using the multipurpose genetic algorithm method.Findings: Findings from the study showed differences in the periods.During the crisis period (2008-2011), the portfolio was included in the most shares (9). In the pre-crisis period, it was seen that the most profitable portfolio consisted of approximately 2 to 3 stocks. The most important feature in the post-crisis period is that there is a significant increase in monthly stocks. When we look at all periods, it is seen that the optimum portfolio is about 5 or 6 portfolios.Results: As a result of the analyzes made, it was seen that the use of multipurpose genetic algorithms was sensitive to crisis periods and gave positive results in portfolio optimization.

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