Metody znajdowania portfela efektywnego dla semiwariancji

• Autorzy: Anna Rutkowska-Ziarko

Warianty tytułu

Methods of finding the effective portfolio for semi-variance

• Języki publikacji: PL

Abstrakty

W klasycznym modelu Markowitza ryzyko jest mierzone wariancją stóp zwrotu. Pewną wadą wariancji jako miary ryzyka jest jednakowe traktowanie odchyleń ujemnych i dodatnich od oczekiwanej stopy zwrotu. Markowitz do mierzenia tylko odchyleń ujemnych zdefiniował semiwariancję. Jednak znalezienie portfela o minimalnej semiwariancji jest znacznie trudniejsze niż znalezienie portfela o minimalnej wariancji. Nową metodę znajdowania portfela o minimalnej semiwariancji zaproponowano w niniejszej pracy.

EN

In the classic Markowitz model, risk is measured by the return rates variance. However, equal treatment of negative and positive deviations from the expected return rate is a slightly shortcoming of variance is the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However finding the portfolio with minimum semi-variance is much more difficult than finding a portfolio with minimum variance. The critical line method proposed by Markowitz in 1959 was the oldest method for finding optimum portfolios for semi-variances. That method was highly complicated and as a consequence the search for methods of finding a quasi-optimum solution continued. Quasi-optimum solutions are based on the co-lower partial moments. Until today they find application in practice. Their advantage is that it is possible to use one of many available software packages for square or non-linear optimization. Unfortunately the solution obtained is quasi optimal and it is not known how far it deviates from the optimum solution. As a consequence, the need to formulate a new method that could offer optimum solution and at the same time would be simple and easy for software design as a means to select optimum portfolios with the minimum semi-variance from the assumer return rate appeared.

Słowa kluczowe

PL

Ryzyko operacyjne; Statystyka; Badania operacyjne; Metody numeryczne

EN

Operational risk; Statistics; Operations research; Numerical methods

• Czasopismo: Badania Operacyjne i Decyzje
• Rocznik: 2005
• Numer: nr 3-4
• Strony: 63--82

Twórcy

autor

Anna Rutkowska-Ziarko

Bibliografia

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