Investment process in dynamic framework - meeting investment criteria

• Autorzy: Krzysztof Jajuga
• Języki publikacji: EN

Abstrakty

The discussion presented above brings us to the conclusion that volatility is basic factor that has influence on meeting investment objective. Volatility, usually measured as standard deviation of returns, has been studied extensively since 60 years. These studies were commenced by Harry Markowitz, who proposed to measure stock price risk through variance of returns. Option pricing theory, initiated by Black-Scholes-Merton model has played even more important role in the volatility studies. In this model volatility (measured as standard deviation of returns) is crucial factor that has influence on option value. (fragment tekstu)

Słowa kluczowe

EN

Financial investment; Financial risk management

PL

Inwestycje finansowe; Zarządzanie ryzykiem finansowym

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Tom: Zastosowanie metod ilościowych w zarządzaniu ryzykiem w działalności inwestycyjnej
• Strony: 13--24

Twórcy

autor

Krzysztof Jajuga

• Uniwersytet Ekonomiczny we Wrocławiu; Komitet Statystyki i Ekonometrii PAN; Komitet Nauk o Finansach PAN

Bibliografia

• Bachelier L., Theory of speculation, Gauthier-Villars, Paris 1900.
• Black F., Scholes M., The pricing of options and corporate liabilities, "Journal of Political Economy" 1973, No. 81.
• Engle R.F., Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, "Econometrica" 1982, No. 50.
• Kahneman D., Tversky A., Prospect theory: an analysis of decision under risk, "Econometrica" 1979, No. 47.
• Markowitz H.M., Portfolio selection, "Journal of Finance" 1952, No. 7.
• Merton R.C., Theory of rational option pricing, "Bell Journal of Economics and Management Science" 1973, No. 4.
• Merton R.C., Influence of Mathematical Models in Finance on Practice: Past, Present and Future, Philosophical Transactions, Royal Society of London 1994.
• Modigliani F., Miller M., The cost of capital, corporation finance and the theory of investment, "American Economic Review" 1958, No. 48.
• Modigliani F., Miller M., Corporate income taxes and the cost of capital: a correction, "American Economic Review" 1963, No. 53.
• Tobin J., Liquidity preference as behavior towards risk, "Review of Economic Studies" 1958, No. 25.
• Williams J.B., The Theory of Investment Value, Harvard University Press, Cambridge 1938.
• Whaley R.E., Derivatives on market volatility: Hedging tools long overdue, "Journal of Derivatives" 1993, No. 1.