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Author
Węgrzyn Tomasz (Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach)
Title
Porównanie dwóch strategii dynamicznego zarządzania portfelem papierów wartościowych
Comparison of Two Dynamic Strategies of Assets Allocation
Source
Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2006, nr 1133, s. 548-556, tab., bibliogr. 5 poz.
Issue title
Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek
Keyword
Portfel papierów wartościowych
Portfolio securities
Note
summ.
Abstract
Celem artykułu jest zdefiniowanie dwóch strategii dynamicznego zarządzania portfelem (jednej wklęsłej a drugiej wypukłej) oraz zaprezentowanie sytuacji w której każda z tych strategii jest bardziej efektywna od przeciwstawnej strategii oraz od strategii kup i trzymaj. (fragment tekstu)

In this article two dynamic strategies of assets allocation are presented. The first strategy is constant-mix strategy. In this strategy manager maintains an exposure to equities that is a constant proportion of his wealth. This strategy is dynamic because whenever the relative value of assets change, purchases and sales are required to return to the desired mix. This strategy is especially profitable when there is high volatility in the market, but when prices are changing in the same direction for a long time this strategy is less profitable than buy and hold strategy.
The second strategy is constant proportion portfolio insurance (CPPI). In this strategy the whole portfolio is divided into two parts. One part is invested in equities, while the second part is invested in bonds. When prices are rising bigger part of wealth is invested in equities. So under this strategy manager sells equities as their prices are falling and buy equities as their prices are rising. This strategy is especially profitable when prices are changing in the same direction for a long time, but when there is high volatility in the market it makes loss. (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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  1. Black F., Jones R., Simplifying Portfolio Insurance, "Journal of Portfolio Management", New York, Fali 1987, vol. 14, iss. 1, s. 48.
  2. Black F., Jones R., Simplifying Portfolio Insurance for Corporate Pension Plans, "Journal of Portfolio Management", New York, Summer 1988, vol. 14, iss. 4, s. 33.
  3. Hakanoglu E., Kopprasch R., Roman E., Constant Proportion Portfolio Insurance for Fixed-Income Investment, "Journal of Portfolio Management", New York, Summer 1989, vol. 15, iss. 4, s. 58.
  4. Perold A.F., Sharpe W.F., Dynamic Strategies for Asset Allocation, "Financial Analysts Journal", January/February 1988, vol. 44, iss. 1, s. 16.
  5. Trippi R.R., Harriff R.B., Dynamic Asset Allocation Rules: Survey and Synthesis, "Journal of Portfolio Management", New York, Summer 1991, vol. 17, iss. 4, s. 19.
Cited by
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ISSN
0324-8445
Language
pol
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