The modification of Markowitz portfolios made for stocks from the warsaw stock exchange

Bartosz T. Sawik

Аннотация


This paper presents method of construction alternative constraints for the Markowitz model. Three models with modification and one standard Markowitz problem gives four structures of stock portfolios with different coefficients of extreme risk aversion. Each portfolio investment space structure depends on coefficient of extreme risk aversion, shape of utility function for selected investment and ratio of shares in portfolio to shares in stock exchange in selected periods and amount of shares. Date sets for analysis come from WSE and frоm a 49 months planning horizon: December 2000 to December 2004. 

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Литература


SAWIK B., 2004, The Calculation of utility and risk aversion for investment portfolios of the Warsaw Stock Exchange, Kraków, UWND-AGH, ISBN 83-89388-63-4.

SAWIK B., 2003, New approach to investment portfolios, Kraków, STN, ISBN 83-918282-1-7.

SAWIK B., 2001, Risk aversion control in investment portfolios, WZ-AGH, Kraków, ISBN 83-914035-8-0.


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