- Author
- Janas Krzysztof (Politechnika Łódzka, student), Krzeszowiec Michał (Politechnika Łódzka, student)
- Title
- Konstrukcja portfela akcyjnego o minimalnym ryzyku
Construction of Portfolio of Shares with Mimnimized Risk - Source
- Debiuty Ekonomiczne, 2009, nr 9, s. 103-111, tab., bibliogr. 3 poz.
- Issue title
- Zastosowanie metod ilościowych w ekonomii
- Keyword
- Portfel akcji, Ryzyko inwestycyjne, Analiza portfelowa
Equity portfolios, Investment risk, Portfolio analysis - Note
- summ.
- Abstract
- Celem poniższego referatu jest przedstawienie podstawowych metod konstrukcji portfela akcyjnego o minimalnym ryzyku. Na podstawie danych historycznych zgromadzonych z 23 tygodni notowań Giełdy Papierów Wartościowych w Warszawie przeanalizujemy na przykładzie, jaki skład, ryzyko i stopę zwrotu posiada portfel minimalizujący ryzyko. (fragment tekstu)
There are numerous ways of investing money. One of them is buying shares on the stock exchange and creating a portfolio of shares. The question is how to diversify such a portfolio. One of the possibilities is construction of a portfolio with minimum risk. In the article we present elementary methods of constructing such a portfolio. We define fundamental terminology used in the portfolio theory and give appropriate formulae to determine necessary quantities. In chapter 2 there is a simple case - portfolio consisting of shares of only 2 companies. We consider all possible cases with respect to the value of correlation coefficient between rates of return. Furthermore, there are methods of constructing the portfolio with minimized risk consisting of more than 2 kinds of shares and constructing the portfolio with minimized risk when the rate of return is given. In chapter 3, on the basis of 23 quotations of 13 companies chosen at random from the Warsaw Stock Exchange, we create a minimum risk portfolio and test it during the next 5 months. (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
The Main Library of the Wroclaw University of Economics - Bibliography
-
- Jaworski W. L., Zawadzka Z., Bankowość. Podręcznik akademicki, Poltex, Warszawa 2004.
- Panjer H. H., Financial economics. With application to investments, insurance and pensions, The Actuarial Foundation, 1998.
- Sobczyk M., Matematyka finansowa. Podstawy teoretyczne, przykłady, zadania, PLACET, Warszawa 1995.
- Cited by
- ISSN
- 1730-2145
- Language
- pol
