Czasopismo
Tytuł artykułu
Warianty tytułu
Evaluation of Application Possibility of Some Market Ratios in Investment Risk Management
Języki publikacji
Abstrakty
W artykule podjęto próbę odpowiedzi na pytanie, czy wybrane wskaźniki rynkowe (P/E i P/BV) mogą być narzędziem efektywnego zarządzania ryzykiem w procesie inwestowania w papiery wartościowe o zmiennym dochodzie. Była to zarazem kolejna próba wprowadzenia elementów analizy fundamentalnej do analizy portfelowej.
In the paper ones took a trial of possibility evaluation to use some market ratios in portfolio analysis. Particularly in the researches were used P/E and P/BV ratios. The groups of companies were selected on the base of proposed ratios. But that group was dividing into three subgroups which contained: good, weak and average companies. Such division was made by using different criterion of P/E and P/BV ratios or their combination. In this way ones built three bases of companies which were used to construction three types of portfolios. The portfolios were built by using assumption of classical Markowitz model. Portfolios which had minimal level of coefficient of variation were chosen to comparisons and they were described as optimal portfolios. The researches were done for 2000-2004 years (especially march 2004). The results of researches were compared with market portfolio which was representing by stock index WIG20. (original abstract)
Rocznik
Strony
294--303
Opis fizyczny
Twórcy
autor
autor
Bibliografia
- Czekała M., Analiza techniczna i fundamentalna, AE, Wrocław 1997.
- Łuniewska M., Wykorzystanie metod ilościowych do tworzenia portfela papierów wartościowych, Uniwersytet Szczeciński, Szczecin 2003.
- Ritchie, Analiza fundamentalna, WIG-Press, Warszawa 1997.
- Siegel J.G., Shim J.K., Przewodnik po finansach, PWN, Warszawa 1995.
- Socha J., Zrozumieć giełdę, INW "Olimpus", Warszawa 1993.
- Tarczyński W., Fundamentalny portfel papierów wartościowych, PWE, Warszawa 2002.
- Tarczyński W., Rynki kapitałowe. Metody ilościowe, vol. l, Placet, Warszawa 1997.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000120664098