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Author
Fiszeder Piotr (Uniwersytet Mikołaja Kopernika w Toruniu)
Title
Konstrukcja portfeli efektywnych z zastosowaniem wielorównaniowych modeli GARCH
Construction of Efficient Portfolios with Applications of Multivariate GARCH Models
Source
Folia Oeconomica Cracoviensia, 2007, vol. 48, s. 47-68, tab., bibliogr. 17 poz.
Keyword
Model GARCH, Teoria portfelowa Markowitza, Portfel inwestycyjny, Zarządzanie portfelem inwestycyjnym
GARCH model, Markowitz portfolio theory, Investment portfolio, Management of investment portfolio
Note
summ.
Abstract
W artykule zaprezentowano dynamiczne podejście do wyznaczania portfeli efektywnych, wykorzystujące prognozy wariancji i kowariancji stóp zwrotu skonstruowane na podstawie wielorównaniowych modeli GARCH. Przedstawiono sposób konstrukcji portfeli efektywnych, zaprezentowano stosowane w badaniu metody estymacji macierzy kowariancji. Dokonano analizy skuteczności konstrukcji portfeli efektywnych dla trzech spółek giełdowych i porównano ją z analizą tej skuteczności dla dwudziestu spółek. Głównym celem zaprezentowanych badań jest ocena skuteczności różnych specyfikacji wielorównaniowych modeli GARCH

The purpose of this paper is to present dynamic approach to selection of efficient portfolios using a forecasts of variances and covariances from the multivariate GARCH models. Evaluation of efficiency for different methods of asset allocation is also performed [or stocks from the WSE. Twelve specifications of the multivariate GARCH models, the univariate GARCH model and six other covariance matrix estimation methods are used. Taking into consideration time varying variances and covariances of stock returns in portfolio selections increases, with some exceptions, efficiency of asset allocation process. Simple specifications of the multivariateGARCH models, which parameters are estimated in one stage, arc the best performing models. From economic point of view, the differences between the models are not significant, with exception of the factor and orthogonal models. RiskMetrics methodology commonly used by practitioners does not give good results for constructions of efficient portfolios. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
Bibliography
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  13. Fiszeder P. 2004a. Dynamiczna alokacja aktywów - Model Markowitza, Rynki finansowe - prognozy a decyzje, Acta Universitatis Lodziensis, Folia Oeconomica, 177, Wydawnictwo Uniwersytetu Łódzkiego, Łódź.
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ISSN
0071-674X
Language
pol
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